/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/240708.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, July 8, 2024, Vol. 25, No. 136 Headlines F R A N C E MEDIAWAN FINANCING: Fitch Assigns Final 'B+' Rating on Secured Debt POSEIDON BIDCO: Moody's Alters Outlook on 'B2' CFR to Negative G E O R G I A ALDAGI GROUP: A.M. Best Affirms B(Fair) Finc'l. Strength Rating G E R M A N Y ECARAT DE SA 2024-1: Fitch Assigns Final Bsf Rating on Cl. F Notes I C E L A N D SKAGINN3X: Files for Bankruptcy, 128 Jobs Affected I R E L A N D CAIRN CLO IX: Fitch Affirms BB- Rating on Class F Notes FINANCE IRELAND 7: DBRS Gives Prov. BB(low) Rating on E Notes HARVEST CLO XXXII: Fitch Assigns 'B-sf' Final Rating on Cl. F Notes JUBILEE CLO 2019-XXIII: Fitch Assigns B-(EXP)sf Rating on F-R Notes JUBILEE CLO 2024-XXVIII: Fitch Assigns B-sf Rating on Cl. F Notes LANSDOWNE MORTGAGE 2: Fitch Affirms CC Rating on 2 Tranches NASSAU EURO IV: Fitch Assigns 'B-sf' Final Rating on Class F Notes NASSAU EURO IV: S&P Assigns B-(sf) Rating on Class F Notes NAVIGATOR AIRCRAFT 2021-1: Moody's Hikes Rating on C Notes to Ba1 OAK HILL IV: Fitch Affirms 'B+sf' Rating on Class F-R Notes RRE 19 LOAN: Fitch Assigns 'BB-sf' Final Rating on Class D Notes TEXAS DEBT 2024-I: Fitch Assigns 'B-sf' Final Rating on Cl. F Notes I T A L Y ALITALIA - LINEE AEREE: July 26 Deadline Set for Real Estate Bids AUTO ABS ITALIAN STELLA 2024-1: Fitch Rates Class E Notes 'BB+' POP NPLS 2020: DBRS Confirms CCC Rating on Class B Notes L U X E M B O U R G MATTERHORN TELECOM: Fitch Affirms BB- LongTerm IDR, Outlook Stable N E T H E R L A N D S JUBILEE PLACE 4: DBRS Confirms B Rating on Class E Notes NIBC BANK: Fitch Assigns BB(EXP) Rating on Additional Tier 1 Notes [*] NETHERLANDS: Corporate Bankruptcies Up Over 40% in May 2024 N O R W A Y FISKER: Norwegian Unit Files for Bankruptcy P O L A N D BANK MILLENNIUM: Fitch Hikes LongTerm IDRs to BB+, Outlook Positive S P A I N AMBER HOLDCO: Moody's Assigns First Time 'B2' Corp. Family Rating CAIXABANK CONSUMO 6: DBRS Confirms BB(low) Rating on B Notes MIRAVET SARL 2019-1: Fitch Affirms 'Bsf' Rating on Class E Notes OBRASCON HUARTE: Moody's Cuts CFR to Caa1 & Alters Outlook to Neg. SOCIATA DI PROGETTO: DBRS Confirms BB(high) Issuer Rating S W I T Z E R L A N D PEACH PROPERTY: Fitch Lowers LongTerm IDR to 'CCC+' PG POLARIS: S&P Assigns 'B' LT Issuer Credit Rating, Outlook Pos. T U R K E Y RONESANS GAYRIMENKUL: Fitch Gives B+ LongTerm Foreign Currency IDR ULKER BISKUVI: Fitch Hikes LongTerm IDR to 'BB-' [*] Fitch Ups Local Curr. IDRs of 5 Turkish Bank Subsidiaries to B+ U N I T E D K I N G D O M ATLANTIC STEEL: Shuts Down Following Administration BRIGNOLE CO 2024: DBRS Gives Prov. B(low) Rating on X1 Notes CENTRO DELLE: DBRS Confirms BB(high) Rating on Class M Notes CINEWORLD GROUP: Plans to Close Quarter of British Cinemas ECARAT DE SA 2024-1: DBRS Gives Prov. B(low) Rating on F Notes EDENBROOK MORTGAGE: Fitch Assigns BB+(EXP)sf Rating on Cl. E Notes ENERGEAN PLC: Fitch Affirms 'BB-' LongTerm IDR, Outlook Stable ENERGEAN PLC: S&P Affirms 'B+' ICR & Alters Outlook to Developing EUROSAIL-UK 07-3: Fitch Affirms CCC Rating on Class E1c Debt HEAT EXCHANGE: Goes Into Administration HOME DELIVERY: Goes Into Administration After Failed Sale I-LOGIC TECHNOLOGIES: Moody's Affirms 'B2' CFR, Outlook Stable ILKE HOMES: Morro Partnerships to Take Over Rolleston Project INFINITY MEDIA: Collapses Into Administration INTELLIGENT PROTECTION: Bought Out of Administration NEWDAY FUNDING 2024-2: DBRS Gives Prov. BB Rating on E Notes POPOLARE BARI: DBRS Confirms C Rating on Class B Notes T BELLO GROUP: Begbies and FRP Advisory Named as Administrators VALLAND PERSONNEL: SFP Appointed as Administrator X X X X X X X X [*] BOND PRICING: For the Week July 1 to July 5, 2024 - - - - - =========== F R A N C E =========== MEDIAWAN FINANCING: Fitch Assigns Final 'B+' Rating on Secured Debt ------------------------------------------------------------------- Fitch Ratings has assigned Mediawan Financing SAS's EUR500 million term loan B (TLB) a final senior secured rating of 'B+' with a Recovery Rating of 'RR3'. The rating action follows the full implementation of the financial structure and receipt of the final contractual arrangements. Changes to the financial documentation relative to the drafts previously received are not material to the ratings. Mediawan Holding SAS 's Issuer Default Rating (IDR) of 'B', which has a Stable Outlook, reflects the group's leading position as a prominent independent studio in Europe, specialising in the production and distribution of original and acquired content following the acquisition of German competitor Leonine Holding GmbH. Its business profile is underpinned by predominantly scripted content production activities and its developing licensing platform, benefiting from long-term relationships with premium home entertainment broadcasters. Fitch projects revenue and EBITDA growth, driven by sustained investments in new production by video-on-demand (VOD) platforms. However, the predominance of production activities translates into some volatility in free cash flow (FCF) driven by content generation capex. Mediawan's leverage is moderate relative to its sensitivities for a 'B' rating in its sector. KEY RATING DRIVERS Independent Production and Licensing Platform: Mediawan's merger with Leonine merger leads to a prominent, independent content production platform, with relevant licensing and distribution activities. Post-integration, about 70% of produced content will be scripted. France will be the key country for the combined entity, with around 40% of revenues, followed by Germany, a legacy of Leonine. Europe-Focused Business: About 90% of Mediawan's business is European, while the group has an expandable presence in the US. Mediawan's clients are predominantly subscriber-driven home entertainment platforms, pay and linear broadcasters. Customer diversification is limited, with the top 10 clients accounting for about half of revenue. Vertically-Integrated Model: Mediawan creates and produces its content, retaining the associated intellectual property (IP) rights. Most projects are funded by broadcasters, clients, and tax credits, covering roughly two-thirds of its initial costs in France. Contractual revenues are agreed in advance and received when content is delivered. After the initial broadcast period, Mediawan monetises the content through licensing, although this segment can fluctuate due to a reliance on popular hits. Production costs capitalised on the balance sheet are expensed on the income statement on delivery, leading to a substantial increase in cash flow. Typically, 95% of the production expenses are amortised at delivery. VOD Drives Revenue Growth: VOD platforms are driving revenue growth for companies like Mediawan. Industry forecasts suggest that spending on content in key European markets will see a CAGR of over 5% through 2027. As studios launch their own streaming services, the distinction between studios and VOD platforms is blurring. This competition for viewers is fuelling investment in content. This trend also affects advertising-driven media like linear TV, albeit with slower growth. Spain, Italy, and Germany are projected to be the fastest-growing markets, contributing to its estimates of Mediawan's revenue CAGR of about 7%. Moderate EBITDA Margin Improvement: Fitch assesses Mediawan's EBITDA by deducting licensing and distribution amortisation costs directly associated with marketed IP, as is standard in the industry. Its calculation also adjusts for the adoption of IFRS 16. Following the merger, Fitch anticipates a slight rise in Fitch-calculated EBITDA margins, bolstered by the growing share of the inherently higher-margin production business and reductions in staff, IT, and marketing expenses. Fitch forecasts EBITDA margins to approach 13% by 2027, up from approximately 12% in 2024. High Leverage, Adequate for Rating: Fitch estimates Mediawan's Fitch-EBITDA leverage at 5.2x for 2024 after the envisaged refinancing and pro-forma for the combined entity. Fitch expects leverage to drop to 4.9x by end-2025, the first full-year of trading for the combined entity, before it then slowly reduces to 2027. Mediawan's leverage is moderate for the sector, reflecting volatile FCF generation and potential fluctuations of IP-related film and television content. Production Facilities Funding: Its leverage calculations include about EUR260 million of production credit facilities used to fund shortfalls until associated tax credits are collected. These are loans raised at the level of production studios and are secured by IP rights and broadcasters' revenues with no recourse to Mediawan. Net Leverage Headroom: Fitch estimates the refinancing will leave around EUR180 million of cash on balance sheet at end-2024, which Fitch expects to then slowly reduce. This leads to contained net leverage at 3.8x, set to improve to below 3.5x by 2026 and offers headroom for bolt-on acquisitions, potentially contributing to faster gross deleveraging. However, Fitch does not assume this liquidity will be used to prepay debt and consequently use gross leverage in its analysis. Volatile FCF: Mediawan's FCF will initially be strained after the merger by significant production capex, due to content pre-financing. This effect is partly mitigated by positive cash flow from working capital, stemming from clients' advance payments for production projects. Fitch anticipates that the company's FCF will be neutral by 2026, following negative FCF in 2024-2025 due to large production investments. Over the medium term, Fitch expects Mediawan's FCF to stabilise as EBITDA margins improve and the expansion of the IP library reduces the current heavy dependence on production. M&A an Option: Fitch believes that Mediawan may consider acquisitions and dividends, but these are not factored into its base case. It might adopt an opportunistic stance on acquisitions, particularly as suitable entities, like smaller production labels, emerge in a consolidating industry. Available cash might be directed towards extra payouts to shareholders, in accordance with financial agreements. Fitch expects Mediawan's shareholders to pursue additional avenues for value creation, possibly through strategic M&As. DERIVATION SUMMARY Following the acquisition of Leonine, Mediawan has established itself as a prominent independent studio in Europe, specialising in the production and distribution of original and acquired content. It has significant market presence in France and Germany, making it a top independent studio in Europe. Mediawan's peers include ITV Plc (BBB-/ Stable), an integrated producer and broadcaster, and Subcalidora 1 S.a.r.l. (Mediapro, B/Stable), a Spanish sports and media rights manager. Mediawan generally holds its own against other Fitch-rated speculative-grade studios and content producers, with Banijay Group SAS (B+/Stable) its nearest European counterpart. Banijay has larger scale, a greater geographic reach, and a focus on non-scripted content that contributes to steadier cash flow and less operational fluctuation. However, Mediawan's high-quality scripted content also has the potential to ensure stable cash flow. Banijay's IDR is influenced by Fitch's assessment of the robustness of its parent company, Banijay Group (formerly FL Entertainment N.V.), resulting in a one-notch uplift from Banijay's 'b' Standalone Credit Profile. Mediawan and Lions Gate Entertainment Corp. (B-/Stable) have comparable EBITDA margins, although Lions Gate operates on a larger scale. Lions Gate's slightly superior business model is due to its vast film library, dominance in film and TV production, and its Starz subscription service, enhancing the stability of its media network. Similarly, Wildbrain Ltd. (B+/RWN) is on a par with Mediawan in size and financial leverage, with Wildbrain bolstered by its valuable IP rights in well-known children's programming. KEY ASSUMPTIONS - Leonine acquisition to be completed in 2024, with 2025 being the first full year of trading for the merged entity - Pro-forma combined 2024-2027 revenues GAGR of 7% led by scripted production, and flat revenue in licencing and distribution - Pro-forma combined EBITDA margin increasing to 12.8% in 2027 from 11.8% in 2024 - Content production-related capex averaging around 11% of revenue for 2024-2027 - No M&A or dividend payments to 2027 - Annual increase in recourse to production credits of EUR25 million to 2027 RECOVERY ANALYSIS Its recovery analysis assumes that Mediawan will be considered a going concern (GC) in bankruptcy, and that it would be reorganised rather than liquidated. This is because most of its value lies within its production and rights-management capabilities, strengthened by longstanding client relationships and a robust IP portfolio. Fitch assesses GC EBITDA at EUR105 million, after corrective measures and a restructuring of its capital structure would allow Mediawan to retain a viable business model. Financial distress leading to a restructuring may be driven by the loss of some customer contracts, together with a progressively deteriorating quality of its IP portfolio. These challenges could initially be tackled by a more conservative capex programme but may lead to an untenable capital structure. Fitch applies a recovery multiple of 5.0x, which is in the mid-multiple range for media companies in EMEA. Its estimates of creditor claims include a fully drawn EUR500 million TLB and a EUR225 million revolving credit facility (RCF) ranking equally with each other. Mediawan has access to incentive programmes and tax credits to fund content production costs. The company uses dedicated credit facilities to bridge the timing variations between content creation outflows and associated receipts. The use of these facilities fluctuates based on changes in the content creation schedules and tax receipt timing. The facilities are raised at the level of each production studios and are secured by broadcaster receivables and tax credits associated with the ongoing seasons. Fitch recognises the necessity of the facilities as a funding source and includes them in its leverage calculations. However, Fitch excludes them from its recovery analysis, assuming they are likely to remain in place during financial distress. After deducting 10% for administrative claims, its analysis generates a ranked recovery in the 'RR3' band, leading to a 'B+' instrument rating for senior secured debt with a waterfall-generated recovery computation output percentage of 65%. RATING SENSITIVITIES Factors That Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade: - Revenue growth and EBITDA margins expansion resulting in total debt being sustained below 5.0x Fitch- calculated EBITDA with a conservative funding mix of cash, debt or equity-funded M&A - Lower reliance on scripted production revenues and consolidation of the licencing business leading to lower capex requirements and consistently positive FCF generation through the cycle - EBITDA interest cover sustained above 3.5x Factors That Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade: - Total debt rising to above 6.0x Fitch-calculated EBITDA due to EBITDA margin contraction or increased debt-funded acquisitions - Increasing capex requirements pressuring FCF to consistently neutral levels - EBITDA interest cover remaining below 2.8x LIQUIDITY AND DEBT STRUCTURE Comfortable Liquidity: Fitch estimates Mediawan's cash balance at around EUR180 million at end-2024. Fitch forecasts that its fairly large cash balance will be maintained to 2027 despite volatile FCF, especially in 2026. In addition, Mediawan has access to a fully undrawn committed RCF of EUR225 million with no significant debt maturing before 2029. 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. DATE OF RELEVANT COMMITTEE May 30, 2024 MACROECONOMIC ASSUMPTIONS AND SECTOR FORECASTS Fitch's latest quarterly Global Corporates Macro and Sector Forecasts data file which aggregates key data points used in its credit analysis. Fitch's macroeconomic forecasts, commodity price assumptions, default rate forecasts, sector key performance indicators and sector-level forecasts are among the data items included. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- Mediawan Financing SAS senior secured LT B+ New Rating RR3 B+(EXP) POSEIDON BIDCO: Moody's Alters Outlook on 'B2' CFR to Negative -------------------------------------------------------------- Moody's Ratings has affirmed the B2 corporate family rating and B2-PD probability of default rating of Poseidon Bidco S.A.S (Ingenico or the company). Moody's has also affirmed the B2 ratings on Ingenico's EUR277.5 million senior secured revolving credit facility (RCF) and EUR1.1 billion senior secured term loan B2. The outlook on all ratings has been changed to negative from stable. "Moody's decision to change Ingenico's ratings outlook to negative reflects the sharp deterioration of Ingenico's financial performance in the first quarter of 2024 and Moody's expectation that the company's financial metrics will continue to weaken over the course of 2024" said Fabrizio Marchesi a Moody's Vice President-Senior Analyst and lead analyst for Ingenico. "Although Moody's expect that the company's financial profile will improve in 2025, there is execution risk regarding the timing and extent of recovery, which negatively impacts the company's credit profile" added Mr. Marchesi. RATINGS RATIONALE Ingenico's financial performance deteriorated sharply in the first quarter of 2024, with revenue and company-adjusted EBITDA falling 37% and 66%, respectively, on a year-over-year basis. Moody's believe that this was driven by an industry-wide decline in demand following the particularly strong order cycle which existed between Q3/22 and Q3/23. Given that it will take time for industry demand to recover, Moody's expect that year-over-year comparables will remain challenging until late 2024. Moody's forecast that Ingenico's top-line will fall below EUR1 billion in 2024 (down from EUR1.4 billion in 2023), with company-adjusted EBITDA declining towards EUR175 million, down from a record EUR389 million in 2023. This will result in a spike in Moody's-adjusted leverage towards 10x by December 2024, up from 4.9x as of March 31, 2024 and 3.7x as of December 2023. However, Moody's also consider that Ingenico's business model is characterized by a significant degree of replacement demand, which Moody's expect will support a recovery following a difficult 2024. For 2025, Moody's thus forecast a recovery in top-line towards EUR1.2 billion and an improvement in company-adjusted EBITDA towards EUR275-300 million, the latter also thanks to the significant cost actions that management is in the process of implementing. This should drive and improvement in Moody's-adjusted leverage towards 5.0-5.5x by December 2025, with the company generating mid-single digits of free cash flow (FCF)-to-debt during the year, although the timing and extent of recovery is subject to execution risk. Ingenico's B2 CFR is supported by the company's 1) leading market positions in the global point of sale (POS) terminal market, underpinned by a large installed base; 2) significant geographic revenue diversification and large customer base; and 3) technological know-how and solid R&D capabilities. Concurrently, the rating is constrained by 1) Ingenico's narrow business focus and exposure to the cyclical, very competitive, and low-growth POS terminal market; 2) the risk that an increasing share of online payment transactions may hamper its POS installed base growth; and 3) the potential for debt-financed acquisitions or dividend payments. LIQUIDITY Moody's consider Ingenico's liquidity to be adequate. Liquidity consists of EUR110 million of cash on balance sheet as of March 31, 2024 as well as access to a EUR277.5 million senior secured RCF, EUR75 million of which was drawn as of March 31, 2024. The combined liquidity is needed to satisfy intra-month cash flow requirements, which management estimates at EUR50-75 million. The senior secured RCF features a springing Senior Secured Net Leverage ratio test, which is tested when the senior secured RCF is drawn above 40%. STRUCTURAL CONSIDERATIONS Ingenico's capital structure includes a EUR1.1 billion senior secured term loan B2 due in 2030 as well as a EUR277.5 million senior secured RCF due in 2028. The security package provided to senior secured lenders consists of pledges over shares and intercompany receivables, which Moody's consider to be weak. The B2 ratings assigned to the senior secured term loan B2 and senior secured RCF are in line with the CFR, reflecting the pari passu nature of the facilities. The B2-PD probability of default rating is at the same level as the CFR, reflecting Moody's assumption of a 50% family recovery rate. RATING OUTLOOK The negative outlook reflects the significant deterioration of the company's financial metrics that is expected to occur over the course of 2024 as well as the inherent risks related to the company's operational rebound in the next 12-18 months. The rating could be stabilised if Ingenico's financial performance successfully recovers such that Moody's-adjusted leverage improves to below 5.0x on a sustained basis, with Moody's-adjusted FCF/debt also sustained in the mid-single digits, while maintaining adequate liquidity. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Positive pressure on the ratings is unlikely at this stage but could develop over time if Ingenico records growth in revenue and Moody's-adjusted EBITDA and develops a track record of maintaining Moody's-adjusted leverage below 4.0x and Moody's-adjusted FCF/debt rises sustainably towards high single-digit levels. Any positive rating action would also require the company to maintain adequate liquidity and demonstrate less aggressive financial policies, refraining from material debt-funded acquisitions or shareholder distributions. Negative rating pressure could occur if the company loses market share or expected organic revenue and EBITDA recovery do not materialize such that Moody's-adjusted leverage remains materially above 5.0x on a sustained basis, especially if Moody's-adjusted FCF/debt is not sustained at mid-single digit levels; or the company's liquidity deteriorates so that it is no longer adequate. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Business and Consumer Services published in November 2021. COMPANY PROFILE Ingenico is the leading authentication and payment initiation provider globally. It provides POS terminals and embedded software, which permit the authentication of cardholders and initiation of payments, as well as POS-related services. In 2023, the company generated revenue of EUR1.4 billion and EUR389 million of company-adjusted EBITDA. ============= G E O R G I A ============= ALDAGI GROUP: A.M. Best Affirms B(Fair) Finc'l. Strength Rating --------------------------------------------------------------- AM Best has revised the outlooks to positive from stable and affirmed the Financial Strength Rating of B (Fair) and the Long-Term Issuer Credit Rating of "bb+" (Fair) of JSC Insurance Company Aldagi Group (Aldagi) (Georgia). The Credit Ratings (ratings) reflect Aldagi's balance sheet strength, which AM Best assesses as strong, as well as its strong operating performance, limited business profile and marginal enterprise risk management. The revision of the outlooks to positive from stable reflect the improvement of Aldagi's balance sheet strength fundamentals and the enhanced financial stability of the company's ultimate parent, Georgia Capital PLC. AM Best expects that Aldagi will maintain its risk-adjusted capitalization comfortably at the strongest level, as measured by Best's Capital Adequacy Ratio (BCAR), supported by prudent capital and underwriting management. Furthermore, the risk of material capital extractions due to Aldagi's association with its ultimate parent, has been reduced as the latter has improved its financial stability. Aldagi's balance sheet strength is underpinned by its risk-adjusted capitalization at the strongest level, as measured by BCAR. The assessment also considers Aldagi's liquid investment portfolio and moderate dependence on reinsurance, with its reinsurance panel consisting of international companies of high financial strength. Offsetting factors include the company's onerous dividend policy, which limits the internal capital generation, as well as Aldagi's exposure to the moderate political and high economic and financial system risks in Georgia. Aldagi has a track record of strong operating performance and in 2023 (under IFRS 17), generated a return-on-equity ratio of 23.6% and a net-net non-life combined ratio of 95.4% (both as calculated by AM Best). Underwriting results have benefited from Aldagi's prudent approach to risk selection and focus on profitability over top-line growth. In 2023, the company reported insurance service result of GEL 37.7 million (approximately USD 14.4 million) (2022: GEL 41.0 million, approximately USD 14.1 million). Aldagi's net investment returns contribute positively to its operating profitability but have been somewhat volatile over the recent years owing to the high interest rate environment in Georgia and internationally, as well as movements in the fair value of invested assets. Aldagi is one of the largest insurance companies in Georgia, with a market share of approximately 17%, based on 2023 combined non-life and life market premiums. The company benefits from its strong brand and multichannel distribution network. Nevertheless, Aldagi's business profile is constrained by its geographical concentration and the small size of its portfolio by international standards. In 2023, the company reported insurance revenue of GEL 160.4 million (approximately USD 60 million). Aldagi's top line is expected to grow in the medium term as the company starts to participate in the local compulsory motor third-party liability insurance pool, as well as write facultative reinsurance business domestically and in regional foreign markets. AM Best will continue to monitor the progress of the company's growth strategy. ============= G E R M A N Y ============= ECARAT DE SA 2024-1: Fitch Assigns Final Bsf Rating on Cl. F Notes ------------------------------------------------------------------ Fitch Ratings has assigned ECARAT DE SA 2024-1 final ratings. The rating on the class E notes is one notch higher than its expected rating due to higher excess spread available to the note as a result of lower funding costs after the transaction was priced. Entity/Debt Rating Prior ----------- ------ ----- ECARAT DE SA 2024-1 A XS2833387629 LT AAAsf New Rating AAA(EXP)sf B XS2833388353 LT AA+sf New Rating AA+(EXP)sf C XS2833387892 LT Asf New Rating A(EXP)sf D XS2836481171 LT BBB+sf New Rating BBB+(EXP)sf E XS2833387975 LT BB+sf New Rating BB(EXP)sf F XS2833388197 LT Bsf New Rating B(EXP)sf G XS2833388270 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The transaction is a securitisation of auto loan receivables, originated and serviced by Stellantis Bank S.A., German branch to finance mainly cars of Stellantis such as Peugeot, Citroën, Opel, DS, FIAT and JEEP. A discounted asset balance of EUR375 million was sold to the issuer at the closing date and further loans will be sold during the revolving period, scheduled to last for one year and subject to eligibility and replenishment criteria. KEY RATING DRIVERS Strong Performance of Originator's Book: Fitch has determined a base-case default rate of 1.6% for the securitised portfolio in light of the strong performance of Stellantis Bank's total book. The default rate factors in potential migration towards a higher share of commercial borrowers during the revolving period. The current falling trend in used car prices could result in lower recoveries than in the last three to four years. Fitch has determined a base-case recovery rate of 60% to take this into account. Excess Spread Supports Paydown: The paydown of the notes is supported by ample excess spread available via the principal deficiency mechanism. The structure discounts the receivables to increase excess spread over the life of the transaction. Fitch assumes that a weighted-average discount rate of 5% will also be available as asset yield for the SPV after the revolving period. Sensitivity to Pro-Rata Period: The transaction will amortise from the end of the revolving period based on target over-collateralisation being in line with that at closing. Once a performance trigger or other triggers are breached, paydown will switch from pro-rata amortisation to sequential. Fitch finds the principal deficiency ledger trigger the most reactive. Pro-rata amortisation increases the transaction's sensitivity to asset assumptions, as the senior notes will remain outstanding for longer than in a fully sequentially amortising transaction. Fitch views the increased sensitivity acceptable based on the scenarios tested, given the excess spread available throughout the transaction and a 10% asset balance trigger. This trigger ends pro-rata amortisation at the latest. Counterparty Risks Addressed: Fitch views commingling risk as immaterial in the transaction, due to collections being transferred to the issuer within two days. An amortising liquidity reserve is available and adequately covers payment interruption risks for the class A to D notes. For the class E and F notes, the risk is reduced because the servicer holds funds for such a short time and Fitch assesses disruption in its operations as low-risk. The ratings of these notes are capped at the 'Asf' rating category because payment interruption risk is not adequately mitigated in higher categories. The account bank and the swap counterparty are subject to rating requirements in line with its criteria. Replacement provisions for the account bank and the swap counterparty are clear and concise. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults or decreases in recovery rates could produce larger losses than the base case and could result in negative rating action on the notes. Sensitivities to higher default rates and lower recoveries are shown below: Increase default rate by 10% / 25% / 50%: Class A: 'AA+sf' / 'AA+sf' / 'AAsf' Class B: 'AAsf' / 'AA-sf' / 'A+sf' Class C: 'Asf' / 'A-sf' / 'BBB+sf' Class D: 'BBB+sf' / 'BBBsf' / 'BBB-sf' Class E: 'BB+sf' / 'BBsf' / 'BB-sf' Class F: 'Bsf' / 'Bsf' / 'B-sf' Reduce recovery rate by 10% / 25% / 50%: Class A: 'AAAsf' / 'AA+sf' / 'AA+sf' Class B: 'AAsf' / 'AA-sf' / 'A+sf' Class C: 'Asf' / 'A-sf' / 'BBBsf' Class D: 'BBB+sf' / 'BBBsf' / 'BB+sf' Class E: 'BBsf' / 'BB-sf' / 'Bsf' Class F: 'NRsf' / 'NRsf' / 'NRsf' Increase default rate and reduce recovery rate each by 10% / 25% / 50%: Class A: 'AA+sf' / 'AAsf' / 'Asf' Class B: 'AA-sf' / 'Asf' / 'BBB+sf' Class C: 'A-sf' / 'BBBsf' / 'BBsf' Class D: 'BBBsf' / 'BB+sf' / 'B+sf' Class E: 'BBsf' / 'B+sf' / 'CCCsf' Class F: 'Bsf' / 'CCCsf' / 'NRsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Unanticipated decreases in the frequency of defaults or increases in recovery rates could produce smaller losses than the base case and result in positive rating action on the 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 reviewed the results of a third-party assessment conducted on the asset portfolio information, and concluded that there were no findings that affected the rating analysis. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ============= I C E L A N D ============= SKAGINN3X: Files for Bankruptcy, 128 Jobs Affected -------------------------------------------------- Erik Pomrenke at Iceland Review reports that Skaginn3X, which specialized in the production of advanced equipment for fish processing and was one of the largest employers in the town of Akranes, has filed for bankruptcy. Some 128 employees will now lose their jobs, Iceland Review relays, citing RUV. According to Iceland Review, Vilhjalmur Birgisson, director of the Akranes Trade Union, wrote the following message on his social media on July 4, following meetings with the fish processing company. "Skaginn3X has requested to be taken into bankruptcy proceedings. I just came from a meeting, and this meeting was, to say the least, extremely difficult. At this meeting, the managers of the high-tech company Skaginn3X informed 128 employees that the company would be taken into bankruptcy proceedings. This bankruptcy of this long-established company means that 128 families will lose their livelihoods, with about 100 of these 128 living here in Akranes and the surrounding area. Skaginn3X is one of the largest employers here in Akranes. It should also be noted that a number of related jobs will also be lost as a result of this bankruptcy. To put the number of those who will lose their jobs into perspective, this would be like 2,400 people losing their jobs in Reykjavik, given the population ratio." Skaginn3X has been owned fully by the German food concern Baader since 2022, Iceland Review notes. Operations at Skaginn3X had contracted significantly in the months preceding their bankruptcy, Iceland Review discloses. When the company ceased operation in Isafjorour in August of last year, some 27 employees lost their jobs, Iceland Review states. ============= I R E L A N D ============= CAIRN CLO IX: Fitch Affirms BB- Rating on Class F Notes ------------------------------------------------------- Fitch Ratings has revised Cairn CLO IX DAC's class E and F notes Outlook to Negative from Stable. All notes have been affirmed. Entity/Debt Rating Prior ----------- ------ ----- Cairn CLO IX DAC A XS1763156798 LT AAAsf Affirmed AAAsf B-1 XS1763157333 LT AA+sf Affirmed AA+sf B-2 XS1763157929 LT AA+sf Affirmed AA+sf C XS1763158653 LT A+sf Affirmed A+sf D XS1763159206 LT BBB+sf Affirmed BBB+sf E XS1763159388 LT BB+sf Affirmed BB+sf F XS1763159628 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY Cairn CLO IX DAC is a cash flow collateralised loan obligation (CLO). The underlying portfolio of assets mainly consists of leveraged loans and is managed by Cairn Loan Investments, LLP. The deal exited its reinvestment period on 25 July 2022. KEY RATING DRIVERS Par Erosion: The portfolio is below its reinvestment target par by approximately 2.1%. No asset is reported as defaulted by the trustee, but the transaction is failing its weighted average life (WAL) test and maximum allowance of fixed-rate assets, among others. Exposure to assets with a Fitch-derived rating of 'CCC+' and below is close to 6.6%, according to the May trustee report, within the 7.5% limit. Heightened Refinancing Risk: The Negative Outlooks on the class E and F notes reflect their sensitivity to Fitch's stress on the most vulnerable EMEA leveraged loan issuers. Under Fitch's stress, its top and Tier 2 market concern bonds (MCB) and market concerns loans (MCL) are assumed to be facing imminent default, while Tier 3 MCB and MCL and issuers with any assets that have maturities before June 2026 are assumed to be downgraded by two notches with a 'CCC-' floor. Deviation from Model-implied Ratings: The class B-1 and B-2 note ratings are one notch below their model-implied rating (MIR). The deviation reflects limited default-rate cushions at their MIRs, which would expose them to the downside risk stemming from the most vulnerable EMEA leveraged loan issuers under Fitch's stress. Reinvesting Transaction: The manager can reinvest unscheduled principal proceeds and sale proceeds from credit-improved and credit risk obligations after the reinvestment period, subject to compliance with the reinvestment criteria. Given the manager's ability to reinvest, Fitch's analysis is based on a stressed portfolio using the agency's matrix specified in the transaction documentation as being applicable as long as the top 10 obligor concentration is below 18%. Fitch also applied a 1.5% haircut to the weighted average recovery rate (WARR) as the calculation of the WARR in the transaction documentation is not in line with its latest CLO Criteria. 'B'/'B-' Portfolio: Fitch assesses the average credit quality of the obligors at 'B'/'B-'. The weighted average rating factor of the current portfolio, as calculated by Fitch under its latest criteria, is 25.9. High Recovery Expectations: Senior secured obligations comprise 100% of the portfolio. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The WARR of the current portfolio as reported by the trustee is 63.1%, based on outdated CLO criteria. Under its latest CLO criteria, the Fitch-calculated WARR is 60.7%. Diversified Portfolio: The portfolio remains diversified across obligors, countries and industries. No single obligor represents more than 2.1% of the portfolio balance, whereas the top 10 obligor concentration is 17.8% and the exposure to the three-largest Fitch-defined industries is 30.5% as reported by the trustee. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Based on the current portfolio, downgrades may occur if the loss expectation is larger than assumed, due to unexpectedly high levels of default and portfolio deterioration. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. 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. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognised statistical rating organisations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. 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 Fitch does not provide ESG relevance scores for this transaction. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. FINANCE IRELAND 7: DBRS Gives Prov. BB(low) Rating on E Notes ------------------------------------------------------------- DBRS Ratings GmbH assigned provisional credit ratings to the residential mortgage-backed notes to be issued by Finance Ireland RMBS No. 7 DAC (the Issuer) as follows: -- Class A: AAA (sf) -- Class B: AA (sf) -- Class C: A (low) (sf) -- Class D: BBB (low) (sf) -- Class E: BB (low) (sf) -- Class X: BBB (sf) The credit rating on the Class A notes addresses the timely payment of interest and the ultimate repayment of principal. The credit ratings on the Class B, Class C, Class D, and Class E notes address the timely payment once they become the most senior class of notes outstanding, and the ultimate repayment of principal on or before the legal final maturity date. The credit rating on the Class X notes addresses the ultimate payment of interest and principal on or before the legal final maturity date. Morningstar DBRS does not rate the Class Y, Class R1, and Class R2 notes also expected to be issued in this transaction. CREDIT RATING RATIONALE The Issuer is a bankruptcy-remote special-purpose vehicle incorporated in the Republic of Ireland. The Issuer will use the proceeds of the notes to fund the purchase of prime and performing Irish owner-occupied (OO) and buy-to-let (BTL) mortgage loans secured over properties located in Ireland. The majority of the mortgage loans included in the portfolio were originated by Finance Ireland Credit Solutions DAC (Finance Ireland; the originator), however, a subset of these was originated by Pepper Finance Corporation (Ireland) DAC (Pepper; the servicer) and have been subsequently sold to Finance Ireland on December 2018, together with the corresponding legal titles. This is the seventh securitization from Finance Ireland, following Finance Ireland RMBS No. 6, which closed in September 2023. The initial mortgage portfolio consists of EUR 264 million of first-lien mortgage loans collateralized by OO and BTL residential properties in Ireland. The mortgages were mostly granted during 2020 and 2021, however, the origination vintages range from 2016 to 2024. The mortgage loans will be serviced by Pepper. Morningstar DBRS updated its operational review of both the originator and the servicer as of May 2024. Underwriting guidelines are in accordance with market practices observed in Ireland and are subject to the Central Bank of Ireland's macroprudential mortgage regulations, which specify restrictions on certain lending criteria. Intertrust Management Ireland Limited will act as the back-up servicer facilitator. As of 31 May 2024, nearly all of the loans in the portfolio repay on an annuity basis, with a small portion repaying on an interest-only basis. At closing, only 0.5% of the loans in the mortgage portfolio were more than one month but less than three months in arrears. Liquidity in the transaction is provided by the general reserve fund (GRF), which the Issuer can use to cover any shortfalls in interest payments for the rated notes (as long as no debit balance remains on principal deficiency ledgers). Liquidity for the Class A notes will be further supported by a liquidity reserve fund (LRF), fully funded at closing then amortizing in line with the referred class of notes, that shall also feature a floor of EUR 1.0 million. The notes' terms and conditions allow interest payments to be deferred if the available funds are insufficient for classes of notes that are not most senior. Once the rated notes become most senior, no deferral of interest is allowed. Any amounts of deferred interest shall also accrue interest. Credit enhancement for the Class A notes is calculated at 8.00% and is provided by the subordination of the Class B to Class E notes, and the reserve funds. Credit enhancement for the Class B notes is calculated at 5.25% and is provided by the subordination of the Class C to Class E notes, and the reserve funds. Credit enhancement for the Class C notes is calculated at 3.50% and is provided by the subordination of the Class D and Class E notes, and the reserve funds. Credit enhancement for the Class D notes is calculated at 1.75% and is provided by the subordination of the Class E notes, and the reserve funds. Credit enhancement for the Class E notes is calculated at 0.75% and is provided by the reserve funds. The Class X notes do not benefit from credit enhancement as they are excess spread notes and shall be repaid via the revenue priority of payments. A key structural feature in the transaction is the provisioning mechanism that is linked to the arrears status of a loan besides the usual provisioning based on losses. The degree of provisioning increases in line with increases in the number of months in a loan's arrears status. This is positive for the transaction as provisioning based on the arrears status traps any excess spread much earlier for a loan that may ultimately end up in foreclosure. In order to hedge against the possible variance between the fixed rates of interest payable on the fixed-rate loans in the portfolio and the interest rate under the notes calculated by reference to the three-month Euribor, the Issuer will enter into a fixed-to-floating interest rate swap transaction with BofA Securities Europe SA (privately rated by Morningstar DBRS). The Issuer can restructure the hedging agreement to increase the notional of the original swap agreement in order to hedge the exposure to additional fixed-rate loans resulting from product switches and further advances before the step-up date. For the increased portion of the notional, the Issuer will pay the prevailing mid-market swap rate on the swap determination date following the collection period during which the switch to the fixed rate occurred. The fixed-rate loans are subject to a floor of 1.5% margin over the prevailing mid-market swap rate at the time of switch/reset, less any applicable swap adjustment charges. Morningstar DBRS modelled a locked-in post-swap margin of 1.5% minus a swap adjustment charge for all loans that reset to a new fixed rate or switch to a fixed rate before the step-up date. To hedge the floating-rate portion of the portfolio, the loans that are currently paying a standard variable rate (SVR) rate, revert to SVR, or switch to SVR are subject to a minimum rate of one-month Euribor (floored at zero) plus 2.4%. Borrower collections are held with the Governor and Company of the Bank of Ireland and The Allied Irish Banks, p.l.c. (both rated by Morningstar DBRS with a long-term Critical Obligations Rating of A (high), Stable trend) and are deposited on the next business day into the Issuer transaction account held with Elavon Financial Services DAC, UK Branch (Elavon). Morningstar DBRS' private rating on Elavon in its role as the Issuer Account Bank is consistent with the threshold for the account bank outlined in Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology, given the ratings assigned to the notes. Morningstar DBRS based its credit ratings on a review of the following analytical considerations: -- The transaction capital structure and form and sufficiency of available credit enhancement. -- The credit quality of the mortgage portfolio and the ability of the servicer to perform collection and resolution activities. Morningstar DBRS calculated probability of default (PD), loss given default (LGD), and expected loss (EL) outputs on the mortgage portfolio. Morningstar DBRS uses the PD, LGD, and ELs as inputs into the cash flow tool. Morningstar DBRS analyzed the mortgage portfolio in accordance with Morningstar DBRS' "European RMBS Insight Methodology: Irish Addendum". -- The ability of the transaction to withstand stressed cash flow assumptions and repay the Class A, Class B, Class C, Class D, Class E, and Class X notes according to the terms of the transaction documents. Morningstar DBRS analyzed the transaction structure using Intex DealMaker. -- The sovereign rating of AA (low) with a Positive trend (as of the date of this press release) on the Republic of Ireland. -- The consistency of the legal structure with Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology and the presence of legal opinions addressing the assignment of the assets to the Issuer. Morningstar DBRS' credit rating on the rated notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amounts and the related Class Balances. Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in euros unless otherwise noted. HARVEST CLO XXXII: Fitch Assigns 'B-sf' Final Rating on Cl. F Notes ------------------------------------------------------------------- Fitch Ratings has assigned Harvest CLO XXXII DAC final ratings. Entity/Debt Rating Prior ----------- ------ ----- Harvest CLO XXXII DAC A XS2793712592 LT AAAsf New Rating AAA(EXP)sf B XS2793712915 LT AAsf New Rating AA(EXP)sf C XS2793713053 LT Asf New Rating A(EXP)sf D XS2793713210 LT BBB-sf New Rating BBB-(EXP)sf E XS2793713483 LT BB-sf New Rating BB-(EXP)sf F XS2793713640 LT B-sf New Rating B-(EXP)sf Sub-ordinated Notes XS2793713996 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Harvest CLO XXXII DAC is a securitisation of mainly senior secured obligations (at least 90%) with a component of senior unsecured, mezzanine, second-lien loans and high-yield bonds. Note proceeds were used to fund a portfolio with a target par of EUR500 million. The portfolio is actively managed by Investcorp Credit Management EU Limited. The collateralised loan obligation (CLO) has a 4.5-year reinvestment period and a 7.5-year weighted average life (WAL) test at closing, which can be extended by one year, at any time, from one year after closing. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch places the average credit quality of obligors at 'B'/'B-'. The Fitch weighted average rating factor (WARF) of the identified portfolio is 25.0. High Recovery Expectations (Positive): At least 90% of the portfolio comprises senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate (WARR) of the identified portfolio is 61.2%. Diversified Asset Portfolio (Positive): The closing matrix and forward matrix are based on a 10-largest obligor limit of 20% of the portfolio balance and fixed-rate asset limits of 5% and 10%. The manager can elect the forward matrix at any time one year after closing if the aggregate collateral balance is at least above the target par. The transaction also includes various concentration limits, including the maximum exposure to the three-largest Fitch-defined industries in the portfolio at 40%. These covenants ensure the asset portfolio will not be exposed to excessive concentration. WAL Step-Up Feature (Neutral): The transaction can extend the WAL by one year, to 7.5 years, on the step-up date, which can be one year after closing at the earliest. The WAL extension is at the option of the manager but subject to conditions including the collateral quality tests and the reinvestment target par with defaulted assets at their collateral value. Portfolio Management (Neutral): The transaction has a 4.5-year reinvestment period, which is governed by reinvestment criteria that are similar to those of other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash Flow Modelling (Positive): The WAL used for the Fitch-stressed portfolio analysis was reduced by 12 months. This is to account for the strict reinvestment conditions envisaged after the reinvestment period. These include passing the coverage tests and the Fitch 'CCC' maximum limit after reinvestment and a WAL covenant that progressively steps down over time. In the agency's opinion, these conditions would reduce the effective risk horizon of the portfolio during the stress period. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A 25% increase of the mean default rate (RDR) across all ratings and a 25% decrease of the recovery rate (RRR) across all ratings of the identified portfolio would lead to a downgrade of one notch for the class D and E notes, two notches for the class C notes, to below 'B-sf' for the class F notes and have no impact on the class A and B notes. Based on the identified portfolio, downgrades may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of default and portfolio deterioration. Due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio, the class C and F notes have a rating cushion of one notch and the class B, D and E notes of two notches. The class A notes have no rating cushion. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR across all ratings and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio would lead to downgrades of up to four notches for the notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the mean RDR across all ratings and a 25% increase in the RRR across all ratings of the Fitch-stressed portfolio would lead to upgrades of up to three notches, except for the 'AAAsf' rated notes. During the reinvestment period, based on the Fitch-stressed portfolio, upgrades may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the transaction's remaining life. After the end of the reinvestment period, upgrades may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. 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 The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognised statistical rating organisations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. 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 Fitch does not provide ESG relevance scores for Harvest CLO XXXII DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. JUBILEE CLO 2019-XXIII: Fitch Assigns B-(EXP)sf Rating on F-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned Jubilee CLO 2019-XXIII DAC reset notes expected ratings. The assignment of final ratings is contingent on the receipt of final documents conforming to information already reviewed. Entity/Debt Rating ----------- ------ Jubilee CLO 2019-XXIII DAC A-1-R LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B-1-R LT AA(EXP)sf Expected Rating B-2-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating F-R LT B-(EXP)sf Expected Rating TRANSACTION SUMMARY Jubilee CLO 2019-XXIII DAC is a securitisation of mainly senior secured obligations (at least 96%) with a component of senior unsecured, mezzanine, second-lien loans and high-yield bonds. Note proceeds will be used to fund a portfolio with a target par of EUR475 million and redeem its outstanding notes. The portfolio is actively managed by Alcentra Ltd. The collateralised loan obligation (CLO) has about a 4.5-year reinvestment period and a 7.0 year weighted average life (WAL) test limit. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch places the average credit quality of obligors in the identified portfolio at 'B'. The Fitch weighted average rating factor (WARF) of the identified portfolio is 24.2. High Recovery Expectations (Positive): At least 96% of the portfolio is expected to comprise senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate (WARR) of the identified portfolio is 62.6%. Diversified Asset Portfolio (Positive): The transaction will include various concentration limits in the portfolio, including a fixed-rate obligation limit at 12.5%, a top 10 obligor concentration limit at 20%, and a maximum exposure to the three-largest Fitch-defined industries in the portfolio at 40%. These covenants ensure that the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction will have an approximately 4.5-year reinvestment period and include reinvestment criteria similar to those of other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. WAL Step-Up Feature (Neutral): The transaction can extend the WAL by one year, to 7.0 years, on the step-up date, which is one year after closing. The WAL extension will be subject to conditions including satisfying the collateral-quality tests and the adjusted collateral balance being at least equal to the reinvestment target par. Cash Flow Modelling (Neutral): The WAL used for the Fitch-stressed portfolio was 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period, including passing the over-collateralisation and Fitch 'CCC' limitation tests, and a WAL covenant that progressively steps down over time, both before and after the end of the reinvestment period. In Fitch's opinion, these conditions reduce the effective risk horizon of the portfolio during the stress period. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A 25% increase of the mean default rate (RDR) across all ratings and a 25% decrease of the recovery rate (RRR) across all ratings of the identified portfolio would have no impact on the class A-1-R, class A-2 and class B-R notes, would lead to a downgrade of one notch to the class C-R, class D-R and class E-R notes and to 'B-sf' for the class F-R notes. Downgrades, which will be based on the identified portfolio, may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of defaults and portfolio deterioration. Due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio, the class B-R and C-R notes display a rating cushion of two notches, the class D-R and E-R notes of five notches, and the class F-R notes have three notes. The class A-1-R notes and class A-2-R notes do not display any rating cushion as they are already at the highest achievable rating. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded either due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR across all ratings and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio would lead to downgrades of two notches for the class A-1-R notes, three notches for the class A-2-R to class D-R notes and to 'B-sf' for the class E-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the RDR across all ratings and a 25% increase in the RRR across all ratings of the Fitch-stressed portfolio would lead to upgrades of up to five notches for the rated notes, except for the 'AAAsf' rated notes. During the reinvestment period, upgrades, which are based on the Fitch-stressed portfolio, may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the remaining life of the transaction. After the end of the reinvestment period, upgrades, except for the 'AAAsf' notes, may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. 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. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognised statistical rating organisations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. 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 Fitch does not provide ESG relevance scores for Jubilee CLO 2019-XXIII DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. JUBILEE CLO 2024-XXVIII: Fitch Assigns B-sf Rating on Cl. F Notes ----------------------------------------------------------------- Fitch Ratings has assigned Jubilee CLO 2024-XXVIII DAC final ratings. Entity/Debt Rating Prior ----------- ------ ----- Jubilee CLO 2024-XXVIII DAC Class A Notes XS2798878166 LT AAAsf New Rating AAA(EXP)sf Class B-1 Notes XS2798878323 LT AAsf New Rating AA(EXP)sf Class B-2 Notes XS2798878752 LT AAsf New Rating AA(EXP)sf Class C Notes XS2798878836 LT Asf New Rating A(EXP)sf Class D Notes XS2798878919 LT BBB-sf New Rating BBB-(EXP)sf Class E Notes XS2798879487 LT BB-sf New Rating BB-(EXP)sf Class F Notes XS2798879305 LT B-sf New Rating B-(EXP)sf Sub Notes XS2798879560 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Jubilee CLO 2024-XXVIII DAC is a securitisation of mainly senior secured obligations (at least 92.5%) with a component of senior unsecured, mezzanine, second-lien loans, first-lien last-out loans and high-yield bonds. Note proceeds were used to fund a portfolio with a target par of EUR400 million. The portfolio is actively managed by Alcentra Limited. The transaction has a 4.5-year reinvestment period and a 7.5-year weighted average life (WAL) test. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors within the 'B' category. The Fitch weighted average rating factor (WARF) of the identified portfolio is 24.1. High Recovery Expectations (Positive): At least 92.5% of the portfolio comprise senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate (WARR) of the identified portfolio is 63.7%. Diversified Portfolio (Positive): The transaction includes two matrices effective at closing corresponding to the 10 largest obligors at 20% of the portfolio balance and fixed-rate asset limits at 6% and 12.5% with a WAL covenant at 7.5 years. Furthermore, there are two additional matrices effective at closing with the same limits but a WAL covenant at 8.5 years. The transaction also includes various concentration limits, including the maximum exposure to the three-largest Fitch-defined industries in the portfolio at 40%. These covenants ensure that the asset portfolio will not be exposed to excessive concentration. WAL Step-Up Feature (Neutral): The transaction can extend the WAL by one year, to 7.5 years, on the step-up date, which can be one year after closing at the earliest. The WAL extension is subject to conditions including meeting the collateral-quality tests and the adjusted collateral principal amount being at least equal to the reinvestment target par. Portfolio Management (Neutral): The transaction has a 4.5-year reinvestment period, which is governed by reinvestment criteria that are similar to those of other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash Flow Modelling (Positive): The WAL Fitch modelled is 12 months less than the WAL covenant. This is to account for the strict reinvestment conditions envisaged by the transaction after its reinvestment period. These include passing both the coverage tests and the Fitch 'CCC' maximum limit, as well as a WAL covenant that progressively steps down over time, both before and after the end of the reinvestment period. Fitch believes these conditions would reduce the effective risk horizon of the portfolio during the stress period. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A 25% increase of the mean default rate (RDR) across all ratings and a 25% decrease of the RRR across all ratings of the identified portfolio would have no impact on the class A to E notes, and would lead to a downgrade to below 'B-sf' for the class F notes. Due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio, the class B notes display a rating cushion of two notches while the class C to F notes have three notches. The class A notes are already at the highest achievable rating and therefore have no rating cushion. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded either due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR across all ratings and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio would lead to a downgrade of three notches for the class A, B and E notes, four notches for the class C notes, one notch for the class D notes, and to below 'B-sf' for the class F notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the mean RDR across all ratings and a 25% increase in the RRR across all ratings of the Fitch-stressed portfolio would result in an upgrade of no more than three notches across the structure, apart from the 'AAAsf' rated notes. During the reinvestment period, upgrades, which are based on the Fitch-stressed portfolio, may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the remaining life of the transaction. After the end of the reinvestment period, upgrades may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. 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 The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognised statistical rating organisations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. 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 Fitch does not provide ESG relevance scores for Jubilee CLO 2024-XXVIII DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. LANSDOWNE MORTGAGE 2: Fitch Affirms CC Rating on 2 Tranches ----------------------------------------------------------- Fitch Ratings has affirmed Lansdowne Mortgage Securities No. 1 Plc (LMS1) and Lansdowne Mortgage Securities No. 2 Plc (LMS2), as detailed below. Entity/Debt Rating Prior ----------- ------ ----- Lansdowne Mortgage Securities No. 2 Plc Class A2 XS0277482286 LT Bsf Affirmed Bsf Class B XS0277483417 LT CCsf Affirmed CCsf Class M1 XS0277482526 LT B-sf Affirmed B-sf Class M2 XS0277482955 LT CCsf Affirmed CCsf Lansdowne Mortgage Securities No. 1 Plc Class A2 XS0250832614 LT B+sf Affirmed B+sf Class B1 XS0250834404 LT CCsf Affirmed CCsf Class B2 XS0250835120 LT CCsf Affirmed CCsf Class M1 XS0250833695 LT Bsf Affirmed Bsf Class M2 XS0250834073 LT CCsf Affirmed CCsf TRANSACTION SUMMARY The transactions are securitisations of Irish non-conforming residential mortgage loans originated by Start Mortgages Ltd. In May 2024, the servicer mandates in both transactions were transferred from Start Mortgages to Mars Capital Finance Ireland, due to Start Mortgages winding down its operations in Ireland. KEY RATING DRIVERS High Arrears, Delayed Foreclosures: In LMS1, 29.6% of the portfolio is in arrears over 90 days, while in LMS2 it was 28.2% as of the May 2024 payment date, down from 32.5% and 29.5%, respectively, at as the June 2023 interest payment date. The majority of borrowers in arrears have been subject to restructuring measures. The provisioning mechanism is defined on losses rather than defaults. As foreclosure timing in Ireland is often long, crystallisation of losses and subsequent provisioning in the revenue waterfall is being delayed. This leads to the transactions' high sensitivity to longer foreclosure timing and is particularly relevant for the ratings of LMS1's class M1 notes and LMS2's class A2 notes. Increased PAF Floor: Fitch has applied an increased floor of 100% for the Performance Adjustment Factor (PAF), as per its European RMBS Rating Criteria, as Fitch considers the reported levels of defaults understated by the late default definition in transaction documents (as loans are restructured rather than repossessed). Fitch also applied the compressed rating multiples for Ireland alongside an originator adjustment of 2.0x, to account for the persisting weak asset performance. Payment Interruption Risk Constrains Ratings: The transactions' reserve funds may be drawn to cover losses. If the high arrears translate into foreclosures and then losses within a short period, reserves could be depleted imminently. As a result, in Fitch's view, payment interruption risk is not adequately addressed and the non-dedicated nature of the reserve limits upgrading the notes, driving the affirmations. Fitch expects some of the subordinated notes in both transactions (class B1 and B2 in LMS1 and class B in LMS2) to experience interest deferral in an expected case scenario. Fitch considers this is adequately reflected in the notes' 'CCsf' ratings. CE Build-up Supports Senior Notes: The sequential amortisation of the notes has led to an increase in credit enhancement (CE), particularly for the senior notes. As arrears remain elevated, the transactions will continue paying sequentially, due to the arrears' triggers breach. CE may continue to increase further as long as losses continue to be limited. However, the notes' ratings remain constrained. Lansdowne Mortgage Securities No.1 and No.2 Plc have elevated ESG Relevance Scores for Governance (Rule of Law, Institutional and Regulatory Quality) due to exposure to jurisdictional legal risks; regulatory effectiveness; supervisory oversight; foreclosure laws; government support and intervention, which has a negative impact on the credit profile, and is highly relevant to the rating, resulting in a change to the rating- RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The majority of the loans in the portfolios have been subject to restructuring arrangements rather than being foreclosed. An increasing number of defaulted loans and lower recovery proceeds combined with longer foreclosure timing may result in downgrades. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade If the transactions continue to make timely payments while withstanding negative carry and losses from delinquencies and foreclosures, leading to a decrease in late-stage arrears, Fitch may revise its foreclosure frequency assumptions down. This could result in 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 Lansdowne Mortgage Securities No. 1 Plc, Lansdowne Mortgage Securities No. 2 Plc Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Fitch did not undertake a review of the information provided about the underlying asset pool[s] ahead of the transactions' initial closing. The subsequent performance of the transaction[s] over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS LMS1 and LMS2 each has an ESG Relevance Score of '5' for Rule of Law, Institutional and Regulatory Quality due to exposure to jurisdictional legal risks; regulatory effectiveness; supervisory oversight; foreclosure laws, which has a negative impact on the credit profile, and is highly relevant to the rating. 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. NASSAU EURO IV: Fitch Assigns 'B-sf' Final Rating on Class F Notes ------------------------------------------------------------------ Fitch Ratings has assigned Nassau Euro CLO IV DAC final ratings. Entity/Debt Rating Prior ----------- ------ ----- Nassau Euro CLO IV DAC Class A-1 XS2798984519 LT AAAsf New Rating AAA(EXP)sf Class A-2 XS2798985086 LT AAAsf New Rating AAA(EXP)sf Class B XS2798984782 LT AAsf New Rating AA(EXP)sf Class C XS2798985169 LT Asf New Rating A(EXP)sf Class D XS2798985326 LT BBB-sf New Rating BBB-(EXP)sf Class E XS2798985672 LT BB-sf New Rating BB-(EXP)sf Class F XS2798985839 LT B-sf New Rating B-(EXP)sf Sub Notes XS2798986050 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Nassau Euro CLO IV DAC is a securitisation of mainly senior secured obligations with a component of senior unsecured, mezzanine, second-lien loans and high-yield bonds. Note proceeds were used to purchase a portfolio with a target par of EUR400 million. The portfolio is actively managed by Nassau Global Credit (UK) LLP (Nassau). The collateralised loan obligation (CLO) has a 4.6-year reinvestment period and a 7.6-year weighted average life test (WAL test). KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors at 'B'/'B-'. The Fitch weighted average rating factor (WARF) of the identified portfolio is 25.0. High Recovery Expectations (Positive): At least 92.5% of the portfolio comprises senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate (WARR) of the identified portfolio is 63.1%. Diversified Portfolio (Positive): The transaction includes various concentration limits in the portfolio, including a fixed-rate obligation limit at 10%, a top-10 obligor concentration limit at 20% and a maximum exposure to the three-largest Fitch-defined industries at 40%. These covenants ensure the asset portfolio will not be exposed to excessive concentration. WAL Step-Up Feature (Neutral): The transaction can extend the WAL by one year at the step-up date one year after closing. The WAL extension is subject to conditions including fulfilling the portfolio-profile, collateral-quality, coverage tests and collateral principal amount being at or above the reinvestment target par, with defaulted assets at their collateral value on the step-up date. Portfolio Management (Neutral): The transaction has a 4.6-year reinvestment period and includes reinvestment criteria similar to those of other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. The transaction has four matrices; two effective at closing with fixed-rate limits of 6% and 10%, and two one year post-closing (or two years if the WAL steps up one year post closing) with fixed-rate limits of 6% and 10%. All four matrices are based on a top-10 obligor concentration limit of 20%. The closing matrices correspond to a 7.6-year WAL test while the forward matrices correspond to a 6.6-year WAL test. Cash Flow Modelling (Positive): The WAL used for the transaction's Fitch-stressed portfolio analysis is 12 months less than the WAL covenant. This is to account for the strict reinvestment conditions envisaged by the transaction after its reinvestment period, which include passing the coverage tests, the Fitch WARF test and the Fitch 'CCC' bucket limitation test after reinvestment as well as a WAL covenant that progressively steps down, before and after the end of the reinvestment period. Fitch believes these conditions would reduce the effective risk horizon of the portfolio during the stress period. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A 25% increase of the mean default rate (RDR) and a 25% decrease of the recovery rate (RRR) across all ratings of the identified portfolio would have no impact on the class A-1, A-2 and B notes, but would lead to downgrades of no more than one notch for the class C, D and E notes and to below 'B-sf' for the class F notes. Based on the identified portfolio, downgrades may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of default and portfolio deterioration. Due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio, the class B to F notes display a cushion of two notches. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded either due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio would lead to downgrades of up to four notches for the rated notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the mean RDR across all ratings and a 25% increase in the RRR across all ratings of the Fitch-stressed portfolio would lead to upgrades of up to three notches for the rated notes, except for the 'AAAsf' rated notes. During the reinvestment period, upgrades, which are based on the Fitch-stressed portfolio, may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the remaining life of the transaction. After the end of the reinvestment period, upgrades may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. 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 The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognised statistical rating organisations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. 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 Fitch does not provide ESG relevance scores for Nassau Euro CLO IV DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. NASSAU EURO IV: S&P Assigns B-(sf) Rating on Class F Notes ---------------------------------------------------------- S&P Global Ratings assigned credit ratings to Nassau Euro CLO IV DAC's class A-1 to F European cash flow CLO notes. At closing, the issuer issued unrated subordinated notes. Under the transaction documents, the rated notes will pay quarterly interest unless a frequency switch event occurs. Following this, the notes will permanently switch to semiannual payments. The portfolio's reinvestment period will end 4.6 years after closing, while the non-call period will end 1.6 years after closing. The ratings reflect S&P's assessment of: -- The diversified collateral pool, which primarily comprises broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which are in line with our counterparty rating framework. Portfolio benchmarks CURRENT S&P Global Ratings' weighted-average rating factor 2,784.51 Default rate dispersion 390.05 Weighted-average life (years) 4.81 Obligor diversity measure 129.46 Industry diversity measure 23.98 Regional diversity measure 1.23 Transaction key metrics CURRENT Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 0.00 Actual 'AAA' weighted-average recovery (%) 37.86 Actual weighted-average spread (net of floors; %) 4.11 S&P said, "Our ratings reflect our assessment of the collateral portfolio's credit quality, which has a weighted-average rating of 'B'. The portfolio is well-diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans and senior secured bonds. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "In our cash flow analysis, we used the EUR400 million target par amount, the actual weighted-average spread (4.11%), the covenanted weighted-average coupon (5.00%), and the actual portfolio weighted-average recovery rates for all rated notes. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "Until the end of the reinvestment period on Jan. 20, 2029, the collateral manager may substitute assets in the portfolio for so long as our CDO Monitor test is maintained or improved in relation to the initial ratings on the notes. This test looks at the total amount of losses that the transaction can sustain as established by the initial cash flows for each rating, and compares that with the current portfolio's default potential plus par losses to date. As a result, until the end of the reinvestment period, the collateral manager may through trading deteriorate the transaction's current risk profile, if the initial ratings are maintained. "Under our structured finance sovereign risk criteria, the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. "The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our current counterparty criteria. "The transaction's legal structure and framework is bankruptcy remote. The issuer is a special-purpose entity that meets our criteria for bankruptcy remoteness. "Our credit and cash flow analysis show that the class B, C, D, E, and F notes benefit from break-even default rate (BDR) and scenario default rate cushions that we would typically consider to be in line with higher ratings than those assigned. However, as the CLO is still in its reinvestment phase, during which the transaction's credit risk profile could deteriorate, we have capped our ratings on the notes. The class A-1 and A-2 notes can withstand stresses commensurate with the assigned ratings. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe our ratings are commensurate with the available credit enhancement for the class A-1 to F notes. "In addition to our standard analysis, to indicate how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we have also included the sensitivity of the ratings on the class A-1 to E notes based on four hypothetical scenarios. "As our ratings analysis makes additional considerations before assigning ratings in the 'CCC' category -- and we would assign a 'B-' rating if the criteria for assigning a 'CCC' category rating are not met -- we have not included the above scenario analysis results for the class F notes." Environmental, social, and governance S&P said, "We regard the exposure to environmental, social, and governance (ESG) credit factors in the transaction as being broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental credit factors is viewed as below average, social credit factors are below average, and governance credit factors are average. "For this transaction, the documents prohibit assets from being related to certain activities, including but not limited to, the following: one whose revenues are more than 10% derived from sale or manufacturing of civilian firearms; one whose revenues are more than 5% derived from tobacco and tobacco-related products, mining of thermal coal, oil sands extraction; one whose any revenue is derived from pornography, prostitution-related activities, trade of illegal drugs or narcotics, including marijuana, manufacture or marketing of controversial weapons. Accordingly, since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Ratings AMOUNT CREDIT CLASS RATING* (MIL. EUR) ENHANCEMENT (%) INTEREST RATE§ A-1 AAA (sf) 240.00 40.00 Three/six-month EURIBOR plus 1.49% A-2 AAA (sf) 8.00 38.00 Three/six-month EURIBOR plus 1.70% B AA (sf) 40.00 28.00 Three/six-month EURIBOR plus 2.15% C A (sf) 26.80 21.30 Three/six-month EURIBOR plus 2.60% D BBB- (sf) 28.20 14.25 Three/six-month EURIBOR plus 3.95% E BB- (sf) 17.00 10.00 Three/six-month EURIBOR plus 6.74% F B- (sf) 13.00 6.75 Three/six-month EURIBOR plus 8.30% Sub. Notes NR 36.45 N/A N/A *The ratings assigned to the class A-1, A-2, and B notes address timely interest and ultimate principal payments. The ratings assigned to the class C, D, E, and F notes address ultimate interest and principal payments. §The payment frequency switches to semiannual and the index switches to six-month EURIBOR when a frequency switch event occurs. EURIBOR--Euro Interbank Offered Rate. NR--Not rated. N/A--Not applicable. NAVIGATOR AIRCRAFT 2021-1: Moody's Hikes Rating on C Notes to Ba1 ----------------------------------------------------------------- Moody's Ratings has upgraded two notes issued by Navigator Aircraft ABS Limited / Navigator Aircraft ABS LLC, Series 2021-1 (Navigator 2021-1). The notes are backed by a portfolio of aircraft and their related initial and future leases. Dubai Aerospace Enterprise (DAE) Ltd. (DAE, Baa2 Stable) is the servicer of the underlying assets. The complete rating actions are as follows: Issuer: Navigator Aircraft ABS Limited / Navigator Aircraft ABS LLC, Series 2021-1 Series 2021-1 B Fixed Rate Notes, Upgraded to Baa1 (sf); previously on Nov 17, 2021 Definitive Rating Assigned Baa2 (sf) Series 2021-1 C Fixed Rate Notes, Upgraded to Ba1 (sf); previously on Nov 17, 2021 Definitive Rating Assigned Ba2 (sf) A comprehensive review of all credit ratings for the respective transaction has been conducted during a rating committee. RATINGS RATIONALE The rating actions are primarily driven by bond deleveraging due to scheduled paydown of the notes as well as stable performance of the transaction. The series B and series C notes have paid down by 17.8% and 35.8%, respectively, since closing and as a result, the Moody's assessed cumulative loan-to-value (CLTV) ratio of the notes excluding projected end of lease (EOL) payments have improved significantly. The series B notes CLTV is 84.1% and the series C notes CLTV is 87.6%, based on Moody's assessed value (MAV) of approximately $661 million, as of the June 2024 payment date. MAV reflects the minimum of several third-party appraisers' maintenance-adjusted half-life market values and Moody's CLTV ratio reflects the loan-to-value ratio of the combined amounts of each series of notes and the series that are senior to it. Additionally, Debt Service Coverage Ratio (DSCR) is currently at 1.47, which is above cash trap trigger of 1.2 and rapid amortization trigger of 1.15, and it has never breached the triggers since transaction closed. Moody's also took into account structural features such as credit enhancement to the rated notes, available security deposits, liquidity facilities, and reserve funds, as applicable, as well as the increased likelihood that certain notes could be locked out of receiving future payments due to the priority of payments waterfall upon occurrence of a rapid amortization trigger. Additionally, qualitative considerations such as the servicer's broad flexibility in managing the aircraft portfolio, and legal factors were considered. Moody's also considered a number of sensitivity scenarios to address risks related to future lessee downgrades and future economic downturns. In particular, Moody's considered stress scenarios on aircraft MAV to address uncertainties related to future volatility of aircraft values due to potential unforeseen market or geopolitical risks. No action was taken on the Series A notes because its expected loss remains commensurate with its current rating, after taking into account the collateral information, transaction's relevant structural features and actual credit enhancement levels. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Securities Backed by Aircraft and Associated Leases" published in June 2024. Factors that would lead to an upgrade or downgrade of the ratings: Up Factors that could lead to an upgrade of the ratings on the notes are (1) collateral cash flows that are significantly greater than Moody's initial expectations and (2) significant improvement in the credit quality of the airlines leasing the aircraft. Moody's updated expectations of collateral cash flows may be better than its original expectations because of lower frequency of lessee defaults, lower than expected depreciation in the value of the aircraft that secure the lessees' promise of payment under the leases owing to stronger global air travel demand, higher than expected aircraft disposition proceeds and higher than expected EOL payments received at lease expiry that are used to prepay the notes. As the primary drivers of performance, positive changes in the condition of the global commercial aviation industry could also affect the ratings. Down Factors that could lead to a downgrade of the ratings on the notes are (1) collateral cash flows that are materially below Moody's initial expectations and (2) a significant decline in the credit quality of the airlines leasing the aircraft. Other reasons for worse-than-expected transaction performance could include poor servicing of the assets, for example aircraft sales disadvantageous to noteholders, or error on the part of transaction parties. Moody's updated expectations of collateral cash flows may be worse than its original expectations because of a higher frequency of lessee defaults, greater than expected depreciation in the value of the aircraft that secure the lessees' promise of payment under the leases owing to weaker global air travel demand, credit drift as the pool composition changes, lower than expected aircraft disposition proceeds, and lower than expected EOL payments received at lease expiry. Transaction performance also depends greatly on the strength of the global commercial aviation industry. OAK HILL IV: Fitch Affirms 'B+sf' Rating on Class F-R Notes ----------------------------------------------------------- Fitch Ratings has upgraded Oak Hill European Credit Partners IV DAC's Class B-1-R to D-R notes and affirmed the rest. All the notes are on Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Oak Hill European Credit Partners IV DAC A-1-R XS1736667723 LT AAAsf Affirmed AAAsf A-2-R XS1736668614 LT AAAsf Affirmed AAAsf B-1-R XS1736669422 LT AAAsf Upgrade AA+sf B-2-R XS1736670198 LT AAAsf Upgrade AA+sf C-R XS1736670784 LT AAsf Upgrade A+sf D-R XS1736671246 LT A-sf Upgrade BBB+sf E-R XS1736671592 LT BB+sf Affirmed BB+sf F-R XS1736671915 LT B+sf Affirmed B+sf TRANSACTION SUMMARY Oak Hill European Credit Partners IV DAC is a cash flow CLO mostly comprising senior secured obligations. The transaction is actively managed by Oak Hill Advisors, LLP and exited its reinvestment period in January 2022. KEY RATING DRIVERS Amortisation Increases Credit Enhancement: The transaction has deleveraged with the class A-1-R and A-2-R notes having been paid down by about EUR60 million since its last review in July 2023. This amortisation resulted in a notable increase in the credit enhancement (CE) of senior and upper mezzanine notes, leading to today's upgrade. The portfolio has approximately EUR5.5 million of defaulted assets. However, exposure to assets with a Fitch-derived rating of 'CCC+' and below is 4.6%, versus a limit of 7.5% and the portfolio's total par loss remains below its rating-case assumptions. Manageable Refinancing Risk: The transaction has manageable near- and medium-term refinancing risk, with 2.1% of the assets in the portfolio maturing in 2024, 2.6% in 2025 and 7.8% in 1H26, as calculated by Fitch. 'B'/'B-' Portfolio: Fitch assesses the average credit quality of the transaction's underlying obligors at 'B'/'B-'. The weighted average rating factor (WARF) of the current portfolio, as calculated by Fitch under its latest criteria, is 24.6. High Recovery Expectations: Senior secured obligations comprise 97.9% of the portfolio. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch-calculated weighted average recovery rate (WARR) of the current portfolio under its latest criteria is at 63.6%. Diversified Portfolio: The portfolio is well-diversified across obligors, countries and industries. As calculated by the trustee, the top 10 obligor concentration is 16.7%, no obligor represents more than 1.9% of the portfolio balance, and exposure to the three-largest Fitch-defined industries is 27.1%. Fixed-rate assets are reported by the trustee at 3.9% of the portfolio balance, versus a limit of 7.5%. Transaction Outside Reinvestment Period: The transaction exited its reinvestment period in January 2022, and the most senior notes are deleveraging since not all proceeds are reinvested. The manager can reinvest unscheduled principal proceeds and sale proceeds from credit improved/impaired obligations after the reinvestment period, subject to compliance with the reinvestment criteria. Given the manager's ability to reinvest, Fitch's analysis is based on a stressed portfolio using the agency's collateral-quality matrix specified in the transaction documentation. Fitch used the matrix with a top-10 obligor limit at 22% and the largest Fitch-defined industry and three-largest Fitch-defined industries at 17.5% and 40%, respectively. Cash Flow Analysis: Fitch used a customised proprietary cash flow model to replicate the principal and interest waterfalls and the various structural features of the transaction, and to assess their effectiveness, including the structural protection provided by excess spread diverted through the par-value and interest-coverage tests. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Based on the current portfolio, downgrades may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of default and portfolio deterioration. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades may result from stable portfolio credit quality and deleveraging, leading to higher CE and excess spread available to cover losses in the remaining portfolio. 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. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognised statistical rating organisations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. 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 Fitch does not provide ESG relevance scores for Oak Hill European Credit Partners IV DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. RRE 19 LOAN: Fitch Assigns 'BB-sf' Final Rating on Class D Notes ---------------------------------------------------------------- Fitch Ratings has assigned RRE 19 Loan Management DAC final ratings. The class B, C-1 and C-2 notes are not rated and their model-implied ratings (MIRs) are 'BBB+sf', 'BB+sf' and 'BB+sf', respectively. Entity/Debt Rating ----------- ------ RRE 19 Loan Management DAC A-1 Loan LT AAAsf New Rating A-1 XS2831759878 LT AAAsf New Rating A-2A XS2831760025 LT AAsf New Rating A-2B XS2831760371 LT AAsf New Rating B XS2831760538 LT NRsf New Rating C-1 XS2831760702 LT NRsf New Rating C-2 XS2831760967 LT NRsf New Rating D XS2831761189 LT BB-sf New Rating Performance Notes XS2831761692 LT NRsf New Rating Preferred Return Notes XS2831761858 LT NRsf New Rating Subordinated Notes XS2831761346 LT NRsf New Rating TRANSACTION SUMMARY RRE 19 Loan Management DAC is a securitisation of mainly senior secured obligations with a component of senior unsecured, mezzanine, second-lien loans and high-yield bonds. Note proceeds were used to purchase a portfolio with a target par of EUR400 million. The portfolio is actively managed by Redding Ridge Asset Management (UK) LLP. The collateralised loan obligation (CLO) has a 4.5 reinvestment period and a nine-year weighted average life (WAL) test. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors at 'B'/ 'B-'. The Fitch weighted average rating factor (WARF) of the identified portfolio is 25.4. High Recovery Expectations (Positive): At least 95% of the portfolio comprise senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate (WARR) of the identified portfolio is 62.8%. Diversified Asset Portfolio (Positive): The transaction includes four Fitch matrices. One is effective at closing, corresponding to a nine-year WAL, and one effective one year after closing, corresponding to an eight-year WAL, and both with a target par condition at EUR400 million. Another two are effective two years after closing, corresponding to a seven-year WAL with a target par condition at EUR400 million and EUR398 million, respectively. All matrices are based on a top-10 obligor concentration limit at 20% and fixed-rate asset limit at 10%. The transaction also includes a limit in exposure to the three-largest Fitch-defined industries in the portfolio at 40%. These covenants ensure the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction has a roughly 4.5-year reinvestment period and reinvestment criteria similar to those of other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash Flow Modelling (Positive): The WAL used for the transaction's stressed-case portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period, including the satisfaction of the over-collateralisation test and Fitch 'CCC' limit, together with a consistently decreasing WAL covenant. These conditions would in the agency's opinion reduce the effective risk horizon of the portfolio during stress period. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A 25% increase of the mean default rate (RDR) across all ratings and a 25% decrease of the recovery rate (RRR) across all ratings of the identified portfolio would have no rating impact on the class A-1 notes and would lead to downgrades of one notch for the class A-2 and D notes. Based on the identified portfolio, downgrades may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of defaults and portfolio deterioration. Due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio, the class A-2 and D notes display a rating cushion of two notches. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded either due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR across all ratings and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio would lead to downgrades of up to four notches for the rated notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the mean RDR across all ratings and a 25% increase in the RRR across all ratings of the Fitch-stressed portfolio would lead to upgrades of up to two notches for the rated notes, except for the 'AAAsf' rated notes. During the reinvestment period, upgrades, based on the Fitch-stressed portfolio, upgrades, except for the 'AAAsf' notes, may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the remaining life of the transaction. After the end of the reinvestment period, upgrades, except for the 'AAAsf' notes, may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. 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 The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognised statistical rating organisations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. 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 Fitch does not provide ESG relevance scores for RRE 19 Loan Management DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. TEXAS DEBT 2024-I: Fitch Assigns 'B-sf' Final Rating on Cl. F Notes ------------------------------------------------------------------- Fitch Ratings has assigned Texas Debt Capital Euro CLO 2024-I DAC final ratings. Entity/Debt Rating ----------- ------ Texas Debt Capital Euro CLO 2024-I DAC A XS2823252098 LT AAAsf New Rating B XS2823252254 LT AAsf New Rating C XS2823252767 LT Asf New Rating D XS2823252924 LT BBB-sf New Rating E XS2823253146 LT BB-sf New Rating F XS2823253492 LT B-sf New Rating Subordinated Notes XS2823253658 LT NRsf New Rating TRANSACTION SUMMARY Texas Debt Capital Euro CLO 2024-I DAC is a securitisation of mainly senior secured loans (at least 90%) with a component of senior unsecured, mezzanine, and second-lien loans. The note proceeds have been used to fund an identified portfolio with a target par of EUR400 million. The portfolio is managed by CIFC CLO Management III LLC. The collateralised loan obligation (CLO) has a 4.6-year reinvestment period and a 7.5-year weighted average life (WAL) test, which can step back up to 7.5 years one year after closing, subject to conditions. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors at 'B'/'B-'. The Fitch weighted average rating factor (WARF) of the identified portfolio is 24.8. Strong Recovery Expectation (Positive): At least 90% of the portfolio comprise senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate (WARR) of the identified portfolio is 62.4%. Diversified Portfolio (Positive): The transaction includes two Fitch test matrices effective at closing. The matrices correspond to a top 10 obligor concentration limit at 20% and fixed-rate obligation limits at 5% and 10%. The transaction also includes various concentration limits, including exposure to the three-largest Fitch-defined industries at 40%. These covenants ensure the asset portfolio will not be exposed to excessive concentration. WAL Step-Up Feature (Neutral): The transaction can extend the WAL by one year on the step-up date, which is one year after closing. The WAL extension is subject to conditions including the satisfaction of all the portfolio-profile, collateral-quality and coverage tests, plus the collateral principal amount (with defaulted obligations at Fitch-calculated collateral value) being at least equal to the reinvestment target par balance. Portfolio Management (Neutral): The transaction has a 4.6-year reinvestment period, which is governed by reinvestment criteria similar to those of other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash Flow Modelling (Positive): The WAL used for the transaction's Fitch-stressed portfolio analysis is 12 months less than the WAL covenant, to account for the strict reinvestment conditions envisaged by the transaction after its reinvestment period. These include, among others, passing the coverage tests and the Fitch 'CCC' bucket limitation test after reinvestment, as well as a WAL covenant that gradually steps down over time to zero, both before and after the end of the reinvestment period. Fitch believes these conditions would reduce the effective risk horizon of the portfolio during the stress period. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A 25% increase of the mean default rate (RDR) across all ratings and a 25% decrease of the recovery rate (RRR) across all ratings of the identified portfolio would have no impact on the class A, C and F notes and would lead to downgrades of one notch for the class B, D and E notes. Based on the identified portfolio, downgrades may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of default and portfolio deterioration. Due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio, the class B, D and E notes display a rating cushion of two notches, while the class C and F notes display a rating cushion of three notches. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded either due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR across all ratings and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio would lead to a downgrade of up to four notches for the class A to D notes and to below 'B-sf' for the class E and F notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the mean RDR across all ratings and a 25% increase in the RRR across all ratings of the Fitch-stressed portfolio would lead to an upgrade of up to three notches for the rated notes, except for the 'AAAsf' rated notes. During the reinvestment period, upgrades, which are based on the Fitch-stressed portfolio, may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the remaining life of the transaction. After the end of the reinvestment period, upgrades may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. 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 The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognised statistical rating organisations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. 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 Fitch does not provide ESG relevance scores for the transaction. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ========= I T A L Y ========= ALITALIA - LINEE AEREE: July 26 Deadline Set for Real Estate Bids ----------------------------------------------------------------- Alitalia - Linee Aeree Italiane S.p.A. under extraordinary administration, in accordance with the authorization of the "Ministry of Enterprises and Made in Italy", considering the favorable opinion of the Supervisory Committee (Comitato di Sorveglianza), intends to start the procedure for selling some real estate. This is in compliance with the sale program prepared pursuant to article 27, paragraph 2, letter b-bis) of Legislative Decree No. 270/1999 and authorized by the Ministry of Economic Development on November 19, 2008. The following "Lot" of real estate (hereinafter, the "Real Estate") will be sold to the part offering the highest price, provided that such price cannot be lower than a quarter of the Base (Mimimum Bid): Real Estate: Building located in Sesto San Giovanni (Milan - Italy), via XXIV Maggio no. 6 Owner: Alitalia - Linee Aeree Italiane S.p.A. Minimum Bid: EUR1,100,000 The Binding Offers, secured by a guarantee, must be received by and no later than 12:00 p.m. (noon Italian time) on July 26, 2024, and the examination of the offers will start from 4:00 p.m. (Italian time) on July 29, 2024, at the presence of the Extraordinary Commissioners (or a person delegated by them) and of an Italian Public Notary. Offers that indicate a price lower than the Minimum Bid of the Real Estate as indicated above, will be declared inadmissible and excluded. During the public meeting, the offerors will be invited to submit increased offers (rilanci) starting from the highest price offered, duly guaranteed. Neither offers on behalf of third parties nor for persons to be designated are allowed. Upon request, the interested parties may have access to the virtual data room concerning the Real Estate starting from the date of publication of this notice up to the deadline for the submission of the binding offers. The Real Estate will be awarded to the highest offeror (also following the aforementioned increased offers ("rilanci") and prior authorization by the Ministry and favorable opinion of the Supervisory Committee, provided that the price offered is not lower than the base price of the property indicated above. This Call does not constitute a solicitation for an offer, or an offer to the public pursuant to art. 1336 of the Italian Civil Code. The full text of this notice is published, in Italian and English language, on the website: www.alitaliaamministrazionestraordinaria.it, together with all documents necessary to participate to this sale procedure. The Extraordinary Commissioners are Prof. Avv. Gianluca Brancadoro and Prof. Dott. Giovanni Fiori. AUTO ABS ITALIAN STELLA 2024-1: Fitch Rates Class E Notes 'BB+' --------------------------------------------------------------- Fitch Ratings has assigned Auto ABS Italian Stella Loans S.r.l. (Series 2024-1)'s notes final ratings. Entity/Debt Rating Prior ----------- ------ ----- Auto ABS Italian Stella Loans S.r.l. (Series 2024-1) Class A Notes IT0005597452 LT AAsf New Rating AA(EXP)sf Class B Notes IT0005597460 LT AAsf New Rating AA-(EXP)sf Class C Notes IT0005597478 LT Asf New Rating A(EXP)sf Class D Notes IT0005597486 LT BBB+sf New Rating BBB(EXP)sf Class E Notes IT0005597494 LT BB+sf New Rating BB+(EXP)sf TRANSACTION SUMMARY The transaction is a six-month revolving period securitisation of Italian auto loans (balloon or standard amortisation) originated by Stellantis Financial Services Italia, a captive lender resulting from a joint venture between Stellantis N.V. (BBB+/Positive/F2) and Santander Consumer Bank. The class B and D notes' final ratings are one notch higher than their expected ratings due to the revised note margin and a moderately higher yield of the final portfolio than the preliminary portfolio. KEY RATING DRIVERS Low Expected Defaults: Fitch has observed lower historical default rates than for other captive auto loan lenders operating in Italy. Fitch derived asset assumptions for different products separately, reflecting different performance expectations and product features. Fitch has assumed a weighted average (WA) base-case lifetime default and recovery rate of 1.8% and 45.6%, respectively, for the portfolio. Material Balloon Risk: The securitised portfolio consists of balloon loans for about 52% of the pool balance, while the remainder comprises amortising auto loans. Balloon loan borrowers may face a payment shock at maturity if they cannot refinance the balloon amount, return the car to the dealer or sell it. Fitch has considered this additional default risk by applying a higher default multiple for balloon loans. The WA default multiple of the portfolio is 5.2x at 'AAsf'. Strong Excess Spread: At the assigned ratings, the portfolio can generate substantial excess spread as the assets earn materially higher yields than the notes' interest and transaction senior costs. Fitch tested several stresses on WA portfolio yield reduction and prepayments assumptions and concluded that the repayment of the class C and D notes is heavily dependent on excess spread, constraining their ratings at 'Asf' and 'BBB+sf', respectively. The class E excess spread notes receive principal solely via available excess spread in the revenue priority of payments. Fitch caps excess spread notes' ratings, and the class E notes are capped at 'BB+sf'. Replacement Servicer Fee Reserve: The transaction has an amortising replacement servicer fee reserve (RSFR), funded by Santander Consumer Finance, S.A. (SCF, A-/Stable/F2), subject to certain triggers. The special-purpose vehicle will rely on the reserve to cover the fees charged by a replacement servicer. In Fitch's view, the RSFR provides coverage of the relevant servicing fees for the lifetime of the transaction, independently of any time the reserve needs to be fulfilled by SCF. Consequently, Fitch did not model servicing fees in its cash flow analysis. 'AAsf' Sovereign and Counterparty-related Cap: Italian structured finance transactions are capped at six notches above Italy's Issuer Default Rating (BBB/Stable/F2), which is the case for the class A notes. The Stable Outlook on the notes reflects that on the sovereign. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The class A and B notes' rating is sensitive to changes in Italy's Long-Term IDR. A downgrade of Italy's IDR and revision of the related rating cap for Italian structured finance transactions, currently 'AAsf', could trigger a downgrade of the class A and B notes. An unexpected increase in the frequency of defaults or decrease of the recovery rates could produce larger losses than the base case. For example, a simultaneous increase of the default base case by 25% and a decrease of the recovery base case by 25% would lead to downgrades of up to three notches for the class B to D notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The class A and B notes' ratings are sensitive to an upgrade of Italy's IDR, provided available credit enhancement is sufficient to withstand stresses at higher rating scenarios. An unexpected decrease of the frequency of defaults or increase of the recovery rates could produce smaller losses lower than the base case. For example, a simultaneous decrease of the default base case by 25% and an increase of the recovery base case by 25% would lead to upgrades of up to two notches for the class C and D 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 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. 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. POP NPLS 2020: DBRS Confirms CCC Rating on Class B Notes -------------------------------------------------------- DBRS Ratings GmbH changed the trend on the Class B notes issued by POP NPLs 2020 S.r.l. (the Issuer) to Negative from Stable and confirmed its credit ratings on the Class A and Class B notes as follows: -- Class A at BBB (high) (sf) -- Class B at CCC (sf) The trend on the Class A notes remains Stable. The transaction represents the issuance of Class A, Class B, and Class J notes (collectively, the notes). The credit rating on the Class A notes addresses the timely payment of interest and the ultimate repayment of principal. The credit rating on the Class B notes addresses the ultimate payment of principal and interest. Morningstar DBRS does not rate the Class J notes. At issuance, the notes were backed by a EUR 919.9 million portfolio by gross book value of Italian secured and unsecured nonperforming loans originated and sold to the Issuer by 15 Italian banks. Fire S.p.A. (Fire) and Special Gardant S.p.A. (Gardant; together with Fire, the special servicers) service the receivables. Master Gardant S.p.A. acts as the master servicer while Banca Finanziaria Internazionale S.p.A. (Banca Finint) has been appointed as backup servicer. CREDIT RATING RATIONALE The credit rating actions follow a review of the transaction and are based on the following analytical considerations: -- Transaction performance: An assessment of portfolio recoveries as of March 2024, focusing on (1) a comparison between actual collections and the special servicers' initial business plan forecast, (2) the collection performance observed over recent months, and (3) a comparison between the current performance and Morningstar DBRS' expectations. -- Updated business plan: The special servicers' updated business plan as of December 2023, received in May 2024, and the comparison with the initial collection expectations. -- Portfolio characteristics: Loan pool composition as of March 2024 and the evolution of its core features since issuance. -- Transaction liquidating structure: The order of priority entails a fully sequential amortization of the notes (i.e., the Class B notes will begin to amortize following the full repayment of the Class A notes, and the Class J notes will amortize following the repayment of the Class B notes). Additionally, interest payments on the Class B notes become subordinated to principal payments on the Class A notes if the cumulative net collection ratio or the net present value cumulative profitability ratio are lower than 90%. As of the May 2024 interest payment date, these triggers had not been breached with actual figures at 147.1% and 131.1%, respectively, according to the special servicers. -- Liquidity support: The transaction benefits from an amortizing cash reserve providing liquidity to the structure covering potential interest shortfall on the Class A notes and senior fees. The cash reserve target amount is equal to 4.0% of the Class A principal outstanding and is currently fully funded. TRANSACTION AND PERFORMANCE According to the latest investor report from May 2024, the outstanding principal amounts of the Class A, Class B, and Class J notes were EUR 95.9 million, EUR 25.0 million, and EUR 10.0 million, respectively. As of the May 2024 payment date, the balance of the Class A notes had amortized by 60.3% since issuance, and the current aggregated transaction balance is EUR 130.9 million. As of March 2024, the transaction was performing above the special servicers' business plan expectations. The actual cumulative gross collections equaled EUR 178.1 million, whereas the special servicers' initial business plan estimated cumulative gross collections of EUR 121.1 million for the same period. Therefore, as of March 2024, the transaction was overperforming by EUR 57.0 million (47.1%) compared with the initial business plan expectations. Nevertheless, the overperformance reduced compared to one year ago, as actual collections from April 2023 to March 2024 were below the special servicers' initial expectations. At issuance, Morningstar DBRS estimated cumulative gross collections for the same period of EUR 86.9 million at the BBB (sf) stressed scenario and EUR 108.2 million at the CCC (sf) stressed scenario. Therefore, as of March 2024, the transaction is performing above Morningstar DBRS' initial stressed expectations. Pursuant to the requirements set out in the receivable servicing agreement, in May 2024, the special servicers delivered an updated portfolio business plan as of December 2023. The updated portfolio business plan, combined with the actual cumulative gross collections of EUR 167.2 million as of December 2023, results in a total of EUR 351.7 million, which is 11.4% lower than the total gross disposition proceeds of EUR 396.8 million estimated in the initial business plan. Considering the material overperformance to date, this implies a substantial reduction of expected collections from the remaining exposures. Excluding actual collections as of March 2024, the special servicers' expected future collections from April 2024 amount to EUR 171.1 million. The updated Morningstar DBRS BBB (high) (sf) rating stresses assume a haircut of 17.9% to the special servicers' updated business plan, considering the future expected collections. In Morningstar DBRS' CCC (sf) scenario, the special servicers' updated forecast was adjusted only in terms of actual collections to the date and timing of future expected collections, resulting in EUR 174.0 million recovery expectation. Considering the benefit from the interest rate cap and the rapid redemption, the Class A notes may now pass higher credit rating stresses in the cash flow analysis. However, Morningstar DBRS does not deem the senior principal redemption path to be sustainable yet, as also evidenced by the special servicers' underperformance compared with the initial business plan in the collection period between April 2023 and March 2024, and the special servicers' downward revision of total collection expectations according to the most recent business plan. In addition, there is some exposure to the transaction account bank, considering the replacement provisions outlined in the transaction documents. Hence, Morningstar DBRS confirmed the credit rating on the Class A notes at BBB (high) (sf) with a Stable trend. The final maturity date of the transaction is November 2045. Morningstar DBRS' credit ratings on the Class A and Class B notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amounts and the related Class Balance. Notes: All figures are in euros unless otherwise noted. =================== L U X E M B O U R G =================== MATTERHORN TELECOM: Fitch Affirms BB- LongTerm IDR, Outlook Stable ------------------------------------------------------------------ Fitch Ratings has affirmed Renens, Switzerland-based Matterhorn Telecom Holding S.A.'s (Salt) Long-Term Issuer Default Rating (IDR) at 'BB-'. The Outlook on the IDR is Stable. Fitch has also affirmed the senior secured debt issued by Matterhorn Telecom S.A. at 'BB+' with a Recovery Rating of 'RR2'. The instrument rating reflects a two-notch uplift from the IDR, in line with Fitch's criteria and generic approach to recoveries for this rating level. The ratings reflect Salt's stable position in the Swiss mobile market, which drives the vast majority of its cash flow. Salt has a low mobile market share compared with other alternative, challenger operators in Europe. However, strong execution and a lean cost structure enable the business to generate above- sector average EBITDA margins despite its smaller scale. The rating is also underpinned by solid pre-dividend free cash flow (FCF) and Fitch-defined net debt/EBITDA of around 3.3x, which is comfortably within the thresholds of the rating. Salt has a strong opportunity to grow revenues and increase the diversity of its cash flow through expanding its fibre broadband business over the next four to five years. It has a favourable agreement with multi fibre suppliers, offering cost benefits similar to owning the fibre and flexible capex based on success, thereby reducing investment risk and speeding up market entry. KEY RATING DRIVERS Stable Mobile Market Position: The Swiss mobile market is dominated by the incumbent operator, Swisscom, which competes on service and product quality. The incumbent operator has one of the western European telecoms sector's highest mobile (56%) and fixed broadband (46.5%) market shares. The mobile market is structurally stable, with three network operators. Salt has a mobile market share of around 17%, which is at the lower end of its European alternative operator peer group, but demonstrably stable to slightly increasing over the past five to six years resulting in good revenue stability. Lean Business Model: Salt's low customer market share has not impeded its ability to generate EBITDA margins that are similar to its larger European peers'. At end-2023 Salt had a 43.3% Fitch-defined EBITDA margin, which is above average of its alternative operator peer group. This reflects strong execution and a lean cost structure. While Fitch-defined EBITDA margins may decline by around 1pp over the next year due to interconnect, roaming and commercial costs that support growth, Fitch believes retaining a margin above 42% (Fitch-defined) is sustainable even with continued increase in revenue contribution from fixed broadband over the next four years. Fibre Broadband Growth Opportunity: At end-2023 Salt had around 223k fixed broadband subscribers equating to a national market share of 5%. Fitch's base case projects that Salt will double its market share over the next four to five years. Assuming stable pricing for the product at CHF49.95 over this period, Salt should grow broadband revenues by CAGR of 10%-15% (CHF200 million-CHF250 million) compared with 2023. This growth will improve cash flow diversification and reduce dependency on mobile services. Attractive Fibre Supply Agreements: Salt has secured contracts with Swisscom nationally and with regional utilities locally for the supply of fibre network infrastructure for fixed broadband services. The contracts enable Salt to gain 20-year fibre network access through the purchase of indefeasible rights of use (IRU) providing economics similar to owning the fibre. The contracts enable Salt to generate infrastructure-like margins with high upfront deployment costs staggered slightly over 10 years on average. The IRU payment is only due on the successful acquisition of a new customer. This significantly reduces operational and financial risks in relation to FttH deployments and improves visibility of returns. Compared with deploying its own network, the purchase of IRUs enables Salt faster access to local fibre infrastructure, reduces own network deployment risks and removes the uncertainty of product uptake risks, which are key to the return of fibre deployments. The ability to port customers lines within regions and or nationally improves utilisation scope in the long run. Building IRU Liability: The staggered payment terms for IRUs improve Salt's FCF profile, reduce peak funding requirements and improve payback for the project. However, the favourable payment terms over 10 years build a payable liability on Salt's balance sheet. At end-2023 this liability amounted to CHF496 million based on a discounted approach from 2023. As Salt increases its broadband subscriber base its revised estimates indicate that this liability could increase and peak at over CHF600 million over the next four to five years (assuming a doubling in Salt's broadband market share). Fitch treats the annual IRU cash costs as cash capex, which is in line with its approach across the western European telecoms sector. The liability however contributes towards lower EBITDA net leverage threshold of the rating by about 0.4x-0.5x relative to its peers'. This is broadly equivalent to the impact of treating the IRU cost as operating expenditure where the total asset base is amortised over the 20-year life of the asset. Leverage Remains Within Thresholds: Over the past three to four years Salt has managed adjusted EBITDA leverage of 3.5x-4.0x (based on company definition which excludes IFRS 15 and IFRS 16). Continuing to do this will place the company comfortably within the leverage thresholds of its rating. Fitch's base case forecasts that Salt will retain some discretion in managing its credit profile through flexible dividend payments. Fitch projects pre-dividend FCF to fall to CHF100 million (end-2027) from CHF146 million (end-2024) due to increases in IRU payments. DERIVATION SUMMARY Salt's rating is in line with that of its alternative European telecom operator peers such as competitor The Sunrise Holding Group (BB-/Negative), Telenet Group Holding N.V. (BB-/Stable) and VMED O2 UK Ltd (BB-/Negative). However, Salt has a lower leverage capacity at each rating band. This reflects its competitive position, market share, lower cash flow, higher dependency on mobile service revenues and IRU payable liabilities. These factors are partially offset by a lean, cash-generative business model and growth prospects in fixed broadband. Lower-rated peers such as eircom Holdings (Ireland) Limited or VodafoneZiggo Group B.V. (both B+/Stable) have wider rating thresholds compared with Salt, but they manage leverage at higher levels or have sold a stake in their fixed-line network and face structural revenue decline from legacy voice or declining market share. KEY ASSUMPTIONS Fitch's Key Assumptions Within its Rating Case for the Issuer - Revenue of around CHF1.15 billion in 2024, growing 2.5%-3.5% per year over the next three years - Fitch-defined EBITDA margin of 42.7% in 2024 and remaining stable over the next three years - Cash tax of CHF49 million in 2024, with a broadly stable effective tax rate over the next three years - Capex at 20% of revenue in 2024, before gradually increasing to 22.5% by 2027 - Dividend payment of CHF150 million per year for 2024-2027, enabling broadly stable Fitch-defined EBITDA net leverage at 3.3x. RATING SENSITIVITIES Factors That Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade: - Cash flow from operations (CFO) less capex/total debt trending above 7.5% on a sustained basis - Fitch-defined EBITDA net leverage below 3.3x on a sustained basis - Significant increase in broadband market share with continued stable or improving mobile service revenue leading to improved cash flow diversification Factors That Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade: - Fitch-defined EBITDA net leverage above 4.2x on a sustained basis - A material decline in EBITDA or FCF on a sustained basis, driven by competitive or technology-driven pressures in core businesses - A financial policy that results in reduced financial flexibility, higher long-term leverage targets or related-party transactions LIQUIDITY AND DEBT STRUCTURE Comfortable Liquidity: At end-2023, Salt had CHF386 million of cash and cash equivalents and a CHF60 million undrawn super revolving credit facility. This combination is sufficient to cover the repayment of all notes maturing in 2024. ISSUER PROFILE Salt is a Swiss telecommunications provider that offers mobile and fixed-line solutions to private and business customers in Switzerland. The company is ultimately owned by NJJ Capital, the private holding company of entrepreneur and telecommunications investor Xavier Niel. MACROECONOMIC ASSUMPTIONS AND SECTOR FORECASTS Fitch's latest quarterly Global Corporates Macro and Sector Forecasts data file which aggregates key data points used in its credit analysis. Fitch's macroeconomic forecasts, commodity price assumptions, default rate forecasts, sector key performance indicators and sector-level forecasts are among the data items included. 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 ----------- ------ -------- ----- Matterhorn Telecom Holding S.A. LT IDR BB- Affirmed BB- Matterhorn Telecom S.A. senior secured LT BB+ Affirmed RR2 BB+ ===================== N E T H E R L A N D S ===================== JUBILEE PLACE 4: DBRS Confirms B Rating on Class E Notes -------------------------------------------------------- DBRS Ratings GmbH confirmed its credit ratings on the loan and notes issued by Jubilee Place 4 B.V. (the Issuer) as follow: -- Class A loan at AAA (sf) -- Class B notes at AA (low) (sf) -- Class C notes at A (low) (sf) -- Class D notes at BBB (sf) -- Class E notes at B (sf) The credit rating on the Class A loan addresses the timely payment of interest and the ultimate payment of principal by the legal final maturity date in July 2059. The credit rating on the Class B notes addresses the timely payment of interest when most senior and the ultimate payment of principal by the legal final maturity date. The credit ratings on the Class C to Class E notes address the ultimate payment of interest and principal by the legal final maturity date. Morningstar DBRS does not rate the Class F, Class X, or Class R notes issued in this transaction. The confirmations follow an annual review of the transaction and are based on the following analytical considerations: -- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the April 2024 payment date; -- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and -- Current available credit enhancement to the rated loan and notes to cover the expected losses at their respective credit rating levels. The Issuer is a bankruptcy-remote special-purpose vehicle incorporated in the Netherlands. The Issuer used the proceeds from the Class A loan and issued notes to fund the purchase of Dutch mortgage receivables originated by Dutch Mortgage Services B.V., DNL 1 B.V., and Community Hypotheken B.V. (the Originators) and acquired from Citibank N.A./London Branch. The Originators are specialized residential buy-to-let real estate lenders operating in the Netherlands and started their lending businesses in 2019. They operate under the mandate of Citibank, N.A., which defines most of the underwriting criteria and policies. PORTFOLIO PERFORMANCE As of the April 2024 payment date, loans up to three months in arrears represented 0.27% of the outstanding portfolio balance, up from 0.15% at the previous annual review one year ago. The 90+ days delinquency ratio decreased to 0.00% from 0.07% and the cumulative default ratio remained at 0.00% in the same period. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions, corresponding with the B (sf) credit rating level, to 9.9% and 10.0%, respectively. CREDIT ENHANCEMENT Credit enhancement for the Class A loan is 15.0%, provided by the subordination of the Class B to Class F notes. Credit enhancement for the Class B notes is 8.6%, provided by the subordination of the Class C to Class F notes. Credit enhancement for the Class C notes is 5.7%, provided by the subordination of the Class D to Class F notes. Credit enhancement for the Class D notes is 3.6%, provided by the subordination of the Class E to Class F notes. Credit enhancement for the Class E notes is 0.9%, provided by the subordination of the Class F notes. At the previous annual review the credit enhancements to the loans and notes slightly decreased from the initial figures because of the build-up of the reserve fund, which was replenished from the principal collections. The credit enhancements continue to build up in line with the amortization of the notes. As of the April 2024 payment date, the credit enhancements for the Class A loan and Class B notes are higher than their respective initial levels of 14.5% and 8.5%, respectively. The credit enhancements for the Classes C to Class E notes are still below their initial levels. The transaction benefits from an amortizing liquidity reserve fund (LRF) that can be used to cover shortfalls on senior expenses and interest payments on the Class A loan. The LRF was partially funded at closing at 0.5% of the initial balance of the Class A loan and was built up until it reached its target of 1% of the outstanding balance of the Class A loan. The LRF is floored at 0.5% of the initial balance of the Class A loan. The LRF indirectly provides credit enhancement to the Class A loan and all classes of notes, as released amounts are part of the principal available funds. As of the April 2024 payment date, the LRF was at EUR 3.0 million. Citibank Europe plc - Netherlands Branch acts as the account bank for the transaction. Based on Morningstar DBRS' private credit rating on the account bank provider, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the AAA (sf) credit rating assigned to the Class A loan, as described in Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology. BNP Paribas SA (BNPP) acts as the interest rate swap counterparty for this transaction. Morningstar DBRS' public Long-Term Issuer Rating of AA (low) on BNPP is consistent with the first credit rating threshold as described in Morningstar DBRS' "Derivative Criteria for European Structured Finance Transactions" methodology. Morningstar DBRS' credit ratings on the notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Morningstar DBRS' credit ratings on the notes also address the credit risk associated with the increased rate of interest applicable to the notes if the notes are not redeemed on the Optional Redemption Date (as defined in and) in accordance with the applicable transaction documents. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transactions documents that are not financial obligations. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of defaults to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the term under which a long-term obligation has been issued. Notes: All figures are in euros unless otherwise noted. NIBC BANK: Fitch Assigns BB(EXP) Rating on Additional Tier 1 Notes ------------------------------------------------------------------ Fitch Ratings has assigned NIBC Bank N.V.'s (NIBC, BBB+/Stable/bbb+) planned issue of additional Tier 1 (AT1) instruments an expected long-term rating of 'BB(EXP)'. The assignment of a final rating is contingent on the receipt of final documents conforming to the information that Fitch has already received. KEY RATING DRIVERS NIBC's AT1 notes are rated four notches below its 'bbb+' Viability Rating (VR), comprising two notches for poor recovery prospects and two notches for incremental non-performance risk relative to the anchor VR given their fully discretionary, non-cumulative coupons. The notching is in line with Fitch's baseline notching for AT1 instruments. Fitch has not applied additional notching for non-performance risk as the bank operates with comfortable headroom above its mandatory coupon-omission trigger, which Fitch expects to continue. At end-2023, the buffer above the maximum distributable amount restriction point amounted to about 670bp. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The notes would likely be downgraded if NIBC's VR is downgraded. The rating could also be downgraded if non-performance risk increases relative to the risk captured in the bank's VR. This could result from an unfavourable change in capital management or flexibility, or an unexpected decline in capital buffers over regulatory requirements, for example. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The notes would likely be upgraded if NIBC's VR is upgraded. DATE OF RELEVANT COMMITTEE June 14, 2024 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 ----------- ------ NIBC Bank N.V. Subordinated LT BB(EXP) Expected Rating [*] NETHERLANDS: Corporate Bankruptcies Up Over 40% in May 2024 --------------------------------------------------------------- Statistics Netherlands (CBS) reports that, adjusted for the number of court session days, there were 18 fewer bankruptcies in May than in April. That was a decrease of 5%. However, there has been an upward trend in the number of bankruptcies for over two years. In the first five months of 2024, over 40% more businesses were declared bankrupt than one year previously. Number of bankruptcies rising The number of corporate bankruptcies adjusted for court session days fluctuates significantly. The number peaked at 911 in May 2013. It subsequently continued to decline until August 2017, after which it remained fairly stable until mid-2020. It then declined once again, reaching a record low of 109 in August 2021. Since May 2022, the number of bankruptcies has been consistently higher year on year. Most bankruptcies recorded in the trade sector If the number of court session days is not taken into account, a total of 316 businesses and institutions (including sole proprietorships) were declared bankrupt in May. The trade sector had the highest number of bankruptcies at 63, down 12% from April. The trade sector is one of the sectors with the largest number of businesses. In relative terms, the most bankruptcies in May were declared in real estate activities and the transport and storage sector. =========== N O R W A Y =========== FISKER: Norwegian Unit Files for Bankruptcy ------------------------------------------- Claudio Afonso at EV, citing Norway's Bronnoysund Register Center, reports that Fisker's Norwegian subsidiary filed for bankruptcy. This follows the recent bankruptcy of the company's subsidiary in Austria, where all the vehicles were manufactured at Magna's plant in Graz, EV notes. Egil Hatling, the head of restructuring at the global law firm "DLA Piper", has been appointed as the bankruptcy trustee, as initially reported by the local media outlet "Tek", EV relates. According to EV, Norway's Road Traffic Information Council said the EV maker led by Henrik Fisker has sold 409 units of the Fisker Ocean SUV in the country. In the Scandinavian market, there are 88 separate instances where creditors have taken legal action to recover unpaid debts from Fisker's subsidiary. The total amount of money involved in these cases adds up to 290,000 Norwegian Krone, equivalent to US$27,460, EV states. On July 2, the company asked for permission to the Bankruptcy Court for the District of Delaware for selling the remaining 3,321 Fisker Ocean vehicles to the New York-based leasing firm American Lease, EV discloses. The deal is expected to bring Fisker a total of US$46.25 indicating that the average price per vehicle is about US$13,900, EV says. =========== P O L A N D =========== BANK MILLENNIUM: Fitch Hikes LongTerm IDRs to BB+, Outlook Positive ------------------------------------------------------------------- Fitch Ratings upgraded Polish-based Bank Millennium S.A.'s (Millennium) Long-Term Foreign- and Local-Currency Issuer Default Ratings (LTFC and LTLC IDRs) to 'BB+' from 'BB' and its Viability Rating (VR) to 'bb+' from 'bb'. The Outlook is Positive. The upgrade reflects strong improvement in the bank's capital position resulting in the completion of its recovery plan and its expectation that risks related to its legacy foreign-currency (FC) mortgage loans will gradually abate. It also reflects its expectations that the bank's improved core profitability will cushion the remaining impact of legal costs and credit holidays, leading to a further recovery of the bank's capitalisation. The Positive Outlook reflects Fitch's view that the ratings could be upgraded if continued reduction of risks related to FC mortgage loans translates into a stronger business profile as underlined by steadily improving operating profitability and a record of adequate capital buffers. KEY RATING DRIVERS Legal Risks Constrain Ratings: Millennium's ratings balance the benefits of a well-established domestic retail franchise, fairly conservative new loan underwriting and adequate asset quality against high legal costs stemming from an above-average exposure to legacy FC mortgage loans, which requires significant management attention. Millennium's National Ratings reflect the bank's creditworthiness relative to Polish peers'. Moderate Capital Buffers: Its capitalisation assessment considers a swiftly rebuilt common equity Tier 1 (CET1) ratio to 14.9% at end-1Q24 from a trough at 9.5% at end-3Q22, which allowed the bank to complete its recovery plan. It also reflects a moderate capital encumbrance by unreserved impaired loans and residual legal risks. Fitch expects Millennium's CET1 ratio to strengthen further in 2025 as Fitch forecasts improved internal capital generation and no dividend pay-outs. Gradual Improvement in Profitability: Fitch expects operating profit improve to 2.6% of risk-weighted assets (RWAs) in 2024 (2023: 1.8%, excluding a one-off gain from a bancassurance partnership transaction). The bank's underlying profitability will benefit from good cost efficiency and resilient net interest income this year. Fitch forecasts the ratio will continue to rise to above 4% in 2025 due to a shrinking burden of costs related to FC mortgages and legal risk provisions, and still fairly high net interest margins. Intervention Risk in Polish Banking Sector: The operating environment for banks in Poland balances a fairly resilient, sizeable and diversified EU-based economy against increased legal and government intervention risks in the banking sector. Income levels are adequate, while the gradually improving economic backdrop should support banks' ability to generate good-quality new business. However, intervention and legal risks hamper Polish banks' strategic planning and execution. Retail-Focused Bank: Millennium's business profile reflects its traditional business model focused on the domestic market and skewed towards retail customers. The bank is ranked seventh by total assets and its franchise in its key market segments is adequate, but without pricing power. Recent capital pressures have not dented Millennium's lending and deposit franchise. High Legal Risk: Millennium's substantial focus on low-risk residential mortgage loans, prudent underwriting standards and good risk controls balances its high legal risks in FC mortgage loans. Stable Asset Quality: The bank's conservative underwriting and investment policies have resulted in a stable average impaired loans ratio of 4%-5% in the past 10 years. Fitch expects the ratio to remain broadly stable at 4.5% over the next two years, supported by resumed loan growth and write-offs absorbing the effects of a recent slowdown in the Polish economy. In 2024 and 2025 Fitch expects loan impairment charges (LICs) to remain at the lower end of the historical range of 40bp-80bp of average gross loans. Stable Funding and Liquidity: Millennium has a well-established granular retail-banking franchise, benefiting from a large proportion of non-interest-bearing customer deposits. The bank has proven access to debt markets, which it taps principally for minimum requirement for own funds and eligible liabilities (MREL) purposes. Liquidity is sound and largely in the form of Polish sovereign debt securities. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A downgrade of the ratings is unlikely, given the Positive Outlook on the Long-Term IDR. The bank's ratings could be downgraded if legal provisions do not decrease in line with its expectation and instead materially weaken Millennium's profitability and capitalisation on a sustained basis. Ratings could also be downgraded due to asset-quality deterioration beyond its current expectations. The National Ratings are also sensitive to negative changes to the bank's credit profile relative to Polish peers'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade An upgrade of the bank's ratings could result from abating risks associated with FC mortgage loans that no longer weigh on its business profile and key financial metrics. This would require a sustained CET1 ratio above 13% and an improvement in operating profit consistently and materially above 1.5% of RWAs. OTHER DEBT AND ISSUER RATINGS: KEY RATING DRIVERS Millennium's senior non-preferred (SNP) debt is rated in line with the bank's IDR, reflecting its expectations that the bank will use only SNP and more junior debt to meet its MREL. Millennium's 'b+' Shareohlder Support Rating (SSR) reflects limited potential support available from the bank's 50.1% owner, Banco Comercial Portugues, S.A. (BCP, BBB-/Stable). The rating reflects the subsidiary's significant size in comparison to the parent company, as it represented nearly one-third of BCP's consolidated assets at end-1Q24. Additionally, it factors in the inconsistent record of support, particularly since Millennium had to undertake a recovery plan without capital support from its parent. Fitch also recognises Millennium's moderate strategic importance to BCP and high reputational risks to the parent arising from a subsidiary default. OTHER DEBT AND ISSUER RATINGS: RATING SENSITIVITIES The SNP debt rating would be downgraded if the bank's Long-Term IDR is downgraded. The SNP debt would also be downgraded to one notch below the bank's Long-Term IDR if Fitch expects Millennium to use senior preferred debt to meet its MREL requirement while SNP and more junior debt would not exceed 10% of the Millennium resolution group's RWAs on a sustained basis. The SNP debt rating could be upgraded if the bank's Long-Term IDR is upgraded. A multiple-notch downgrade of the parent's Long-Term IDR or its diminished propensity to provide support to its subsidiary would negatively affect the SSR. An upgrade of the SSR would require an upgrade of the parent's Long-Term IDR and evidence of BCP having a stronger propensity to support Millennium. VR ADJUSTMENTS The business profile score of 'bb+' is below the 'bbb' implied category score due to the following adjustment reason: business model (negative). The earnings & profitability score of 'bb' is above the 'b & below' implied category score due to the following adjustment reason: historical and future metrics (positive). The capitalisation & leverage score of 'bb+' is below the 'bbb' implied category score due to the following adjustment reason: risk profile and business model (negative). ESG CONSIDERATIONS Millennium has an ESG Relevance Score for Management Strategy of '4'. This reflects its view of elevated government intervention risk in the Polish banking sector, which negatively affects the banks' operating environment and their ability to define and execute on their strategies. This has a negative impact on the bank's credit profile and is relevant to the ratings, in combination with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entities, either due to their nature or the way in which they are being managed by the entities. Fitch ESG Relevance Scores are not inputs in the rating process; they are an observation of the materiality and relevance of ESG factors in the rating decision. Entity/Debt Rating Prior ----------- ------ ----- Bank Millennium S.A. LT IDR BB+ Upgrade BB ST IDR B Affirmed B LC LT IDR BB+ Upgrade BB Natl LT A-(pol) Upgrade BBB+(pol) Natl ST F1(pol) Affirmed F1(pol) Viability bb+ Upgrade bb Shareholder Support b+ Affirmed b+ Senior non-preferred LT BB+ Upgrade BB ========= S P A I N ========= AMBER HOLDCO: Moody's Assigns First Time 'B2' Corp. Family Rating ----------------------------------------------------------------- Moody's Ratings has assigned a B2 long-term corporate family rating and a B2-PD probability of default rating to Amber Holdco Limited (Applus or the company). In addition, Moody's have assigned B2 ratings to the backed senior secured facilities to be issued by Amber FinCo PLC, a subsidiary of Amber Holdco Limited, comprised of a EUR900 million senior secured term loan B due 2029 and a EUR200 million senior secured revolving credit facility (RCF) due 2029. The outlook assigned on both entities is stable. The proceeds from the new backed senior secured term loan B issued by Amber FinCo PLC alongside EUR1,239 million of equity contribution from private equity sponsors TDR Capital and I Squared (assuming the sponsors acquire 100% of the shares of Applus Services SA. (the target)), other Senior Secured debt of EUR795 million, EUR41 million of rollover debt, and EUR26 million of cash will be used for the acquisition of the target's shares to take the company private, repay its existing debt, and pay transaction fees. Moody's note that EUR375 million of the new EUR900 million term loan B may only be used to fund the upfront cost for the ongoing tender process in respect of the IDIADA contract – this portion of the new term loan B will be cancelled if Applus is not successful in bidding to renew the tender. RATINGS RATIONALE "Applus' B2 CFR reflects the company's (1) strong position within certain segments of the testing, inspection, and certification (TIC) industry which benefit from high entry barriers, (2) resilience due to the mission-critical and regulatory-driven nature of a majority of its services, (3) strong reputation and long lasting relationship with blue-chip customers - around 80% of the largest 100 clients have been with Applus for more than 10 years - providing a recurring revenue base, (4) a diversified customer base with the top 100 clients accounting for around 35% of the company's revenues (excluding automotive which serves a large retail customer base), and (5) positive industry fundamentals supporting sustained organic revenue growth at mid-single digit rates over the next three years", says Sebastien Cieniewski, Moody's Ratings Vice President – Senior Credit Officer and lead analyst for Applus. Conversely, the rating is constrained by (1) Applus' exposure to a limited number of end-markets compared to the largest global TIC competitors, some of which are expected to be cyclical, including oil & gas and R&D-driven automotive and aerospace laboratory testing, (2) uncertainty concerning the renewal of the IDIADA concession (around 20% of the group's 2023 EBITDA) which comes due in September 2024 – a non-renewal of the concession would negatively affect profitability, cash flow generation, and diversification of operations, (3) high Moody's adjusted gross leverage of close to 6.0x as of the end of 2023 pro forma for the take private transaction and the renewal and non-renewal of the IDIADA contract, and (4) expectation of the continuation of the strategy of bolt-on acquisitions under the new private equity ownership which will be partly debt-funded as underlying free cash flow (FCF) projected at below 5% as a percentage of Moody's adjusted gross debt in 2024 and 2025 will be partly used to pay earnouts for prior year acquisitions. ENVIRONMENTAL, SOCIAL AND GOVERNANCE CONSIDERATIONS Governance is a key driver for the rating action reflecting Moody's expectation of higher appetite for leverage under private equity ownership as demonstrated by the meaningful increase in debt pro forma for the transaction. Moody's believe that the potential presence of minority shareholders even afer the de-listing of Applus Services S.A. may also influence the financial policy of the company going forward – this would materialize for example if the company would contemplate to buy-out the minority shareholders' stake in the future. In addition, the governance risk reflects the composition of the company's board with mostly non-independent directors representing the interests of TDR Capital and I Squared and the expectation that the company will continue to act as a consolidator within the highly fragemented TIC industry and may raise additional debt from time to time to execute this strategy. LIQUIDITY Applus' liquidity position is adequate supported by its cash position of around EUR77 million pro forma the transaction as of March 31, 2024. In addition the group benefits from a EUR200 million undrawn and committed RCF maturing in 2029 which it can use for its immediate liquidity needs. The group does not have any medium-term maturities but is required to meet scheduled earnout payments related to prior years acquisitions, the realisation of which are fully dependent on achieving specific business performance targets – earnout liabilities totalled EUR91 million as of December 31, 2023. The new financing structure will be cov-lite with a senior secured net leverage covenant on the RCF set at 7.02x to be tested when at least 40% of the facility is drawn. STRUCTURAL CONSIDERATIONS The backed senior secured term loan B and RCF issued by Amber FinCo PLC rank pari passu and are rated B2 in line with the CFR in the absence of any meaningful liabilities ranking ahead or behind. Moody's assume a 50% family recovery rate which is typical for this type of debt structure with absence of any demanding financial maintenance covenants. The facilities are guaranteed by operating subsidiaries representing at least 80% of group EBITDA and are secured by pledges over shares and bank accounts. Following the settlement of the tender offer to acquire the shares of Applus Services SA., the sponsors hold approximately 70.65% of the shares of the target. There remains thus minority shareholders and it is uncertain whether the sponsors will be able to acquire 100% of the shares of the target going forward even after the delisting of Applus Services SA. Thanks to the pushdown of all of the debt raised at Amber Finco PLC to Applus Services SA. and its subsidiaries via an intercompany loan, the ultimate servicing of the debt at Amber Finco PLC will be supported by payments under the intercompany loan and will thus not be subject to cash leakage to minority shareholders. COVENANTS Moody's have reviewed the marketing draft terms for the new credit facilities. Notable terms include the following: Guarantor coverage will be at least 80% of consolidated EBITDA (determined in accordance with the agreement) and include all companies representing 5% or more of consolidated EBITDA. Only companies incorporated in Spain, England & Wales, USA (NY and Delaware), Germany, Ireland, Canada, Australia, Sweden, Denmark and the Netherlands are included in these tests. Security will be granted over key shares, material bank accounts and key receivables, with customary all assets security in USA and England & Wales. Incremental facilities are permitted up to the greater of EUR233 million and 1.00x consolidated EBITDA, plus available capacity under the senior secured leverage ratio basket. Unlimited pari passu debt is permitted up to a senior secured leverage ratio of 3.96x, and unlimited unsecured debt is permitted subject to a 2.00x fixed charge coverage ratio. Unlimited restricted payments are permitted if total leverage is 3.71x or lower (3.96x times or lower for repayments of subordinated debt). The obligation to apply asset sale proceeds is not subject to a leverage test. Adjustments to consolidated EBITDA include the full run rate of cost savings and synergies, capped at 25% of consolidated EBITDA and believed to be realisable within 24 months of the relevant event. The proposed terms, and the final terms may be materially different. OUTLOOK The stable outlook reflects Moody's expectation that Applus will experience sustained organic growth at mid single-digit rates over the next three years which will be complemented by moderately-sized bolt-on acquisitions. The outlook assumes that the company will not pursue any large scale debt funded M&A. The stable outlook further incorporates the rating agency's assumption that the group will generate positive Moody's adjusted FCF/debt improving towards mid single-digit rates while maintaining its Moody's Debt/EBITDA at below 6.0x as well as an adequate liquidity position. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Upgrade rating pressure could develop over time if (1) Applus continues to exhibit solid organic growth while improving profitability, (2) Moody's adjusted gross debt/EBITDA improves to below 5.0x on a sustained basis, (3) Moody's-adjusted FCF/debt improves to above mid single-digit rates on a sustained basis, (4) Moody's-adjusted EBITA/interest expense improves sustainably above 2.0x, and (5) the company displays a good liquidity. Downward rating pressure could develop if (1) Applus experiences a weakening of its business profile as demonstrated by organic growth moving towards zero and a decreasing profitability, (2) Moody's adjusted leverage remains above 6.0x on a sustained basis, (3) the company generates a weak FCF at low single digit rates as a percentage of adjusted gross debt, (4) Moody's-adjusted EBITA/interest expense declines below 1.5x, or (5) the liquidity position weakens. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Business and Consumer Services published in November 2021. CORPORATE PROFILE Headquartered in Barcelona, Spain, Applus is a company operating within the testing, inspection and certification industry with around 23% of revenues coming from testing, 51% from inspection and 26% from certification in 2023. The company was founded in 1996 and employs around 26,000 employees in over 70 countries and is divided into four different segments: Energy and Industry (E&I), Laboratories (Labs), Automotive (Auto) and the IDIADA division which provides design, testing, engineering and homologation services to the automotive industry. For the financial year ending December 2023 the group generated revenues of EUR2,058 million with a Moody's adjusted EBITDA of EUR320 million. CAIXABANK CONSUMO 6: DBRS Confirms BB(low) Rating on B Notes ------------------------------------------------------------ DBRS Ratings GmbH confirmed its credit ratings on the Series A Notes and Series B Notes (together, the Notes) issued by Caixabank Consumo 6 F.T. (the Issuer) as follows: -- Series A Notes confirmed at AA (low) (sf) -- Series B Notes confirmed at BB (low) (sf) The credit rating on the Series A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in September 2036. The credit rating on the Series B Notes addresses the ultimate payment of interest and principal on or before the legal maturity date. The confirmations follow an annual review of the transaction and are based on the following analytical considerations: -- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the March 2024 payment date; -- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and -- Current available credit enhancement to the Notes to cover the expected losses at their respective credit rating levels. The transaction is a securitization of unsecured consumer loans granted to individuals residing in Spain by CaixaBank, S.A. (Caixabank), which also services the portfolio and acts as the Issuer account bank. The transaction closed in June 2023. At closing, the static EUR 2.0 billion collateral portfolio consisted of loans granted primarily to borrowers in Catalonia (27.0%), Andalusia (15.4%), and Madrid (15.3%). The transaction includes a 12-month revolving period which is scheduled to end in June 2024. PORTFOLIO PERFORMANCE As of the March 2024 payment date, loans that were 0 to 30 days, 30 to 60 days, and 60 to 90 days delinquent represented 0.3%, 0.2%, and 0.02% of the outstanding portfolio balance, respectively, while loans more than 90 days delinquent represented 0.8%. Gross cumulative defaults amounted to 0.6% of the aggregate initial portfolio balance, with cumulative recoveries of 1.3% to date. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and maintained its base case PD and LGD assumptions at 4.7% and 90.2%, respectively, based on the actual portfolio composition given the upcoming end of the revolving period. CREDIT ENHANCEMENT The subordination of the Series B Notes and the cash reserve provide credit enhancement to the Series A Notes while the cash reserve provides credit enhancement to the Series B notes only following the full repayment of the Series A Notes. As of the March 2024 payment date, credit enhancement to the Series A and Series B Notes marginally increased to 16.1% and 5.1% from 16.0% and 5.0%, respectively, since the initial credit ratings notwithstanding the inclusion of the revolving period. This was due to higher collections credited to the principal accumulation account. The transaction benefits from an amortizing cash reserve available to cover senior expenses and all payments due on the senior-most class of notes outstanding at the time. The reserve was funded to EUR 100.0 million at closing through a subordinated loan granted by CaixaBank and, from the June 2025 payment date onward, as long as the reserve has been replenished to its target level on the previous payment date, it will amortize to its target level, which is 5% of the outstanding principal balance on the Notes. As of the March 2024 payment date, the reserve was at its target of EUR 100.0 million. CaixaBank acts as the account bank for the transaction. Based on the account bank reference rating of A (high) on CaixaBank which is one notch below its Morningstar DBRS Long Term Critical Obligations Rating of AA (low), the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the Notes, as described in Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology. Notes: All figures are in Euros unless otherwise noted. MIRAVET SARL 2019-1: Fitch Affirms 'Bsf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has affirmed Miravet S.a.r.l. Compartment 2019-1's ratings with Stable Outlooks. Entity/Debt Rating Prior ----------- ------ ----- Miravet S.A R.L., Compartment 2019-1 Class A XS2076149397 LT AAAsf Affirmed AAAsf Class B XS2076149553 LT Asf Affirmed Asf Class C XS2076149637 LT BBBsf Affirmed BBBsf Class D XS2076149710 LT BBsf Affirmed BBsf Class E XS2076149801 LT Bsf Affirmed Bsf TRANSACTION SUMMARY The transaction is a static securitisation of seasoned and fully amortising Spanish residential mortgages originated by Catalunya Banc, Caixa Catalunya, Caixa Tarragona and Caixa Manresa, entities that are fully owned by and integrated with Banco Bilbao Vizcaya Argentaria, S.A. (BBB+/Stable/F2). The transaction closed in December 2019, and had a pool factor of around 62% as of May 2024 versus an initial portfolio balance of EUR349.6 million. KEY RATING DRIVERS Deteriorating Asset Performance: The affirmations reflect the mild deterioration of asset performance, with increasing arrears over 90 days, currently estimated at 6.3%, versus 4.9% in May 2023, and gross cumulative defaults of 9.1%, versus 8.2% at the last review. Excess spread has been insufficient to cover all defaults so far, resulting in an implicit principal deficiency ledger of around EUR6 million as of the last interest payment date, as measured against the collateralised notes balance. As a result of this deteriorating performance, Fitch has floored the Performance Adjustment Factor (PAF) to 100%, resulting in broadly stable asset levels. Large Share of Re-performing Loans: Around 78% of the portfolio is linked to loans with prior restructurings that have an average clean payment history of nine years as of April 2024. The default rate of each re-performing loan is derived from the assessment of the payment record since the most recent date it was last in arrears and the restructuring end-date. Payment Interruption Risk Caps Ratings: The class B to E notes are exposed to unmitigated payment interruption risk in the event of a servicer disruption, as the available structural mitigant (liquidity reserve) is not maintained after the full repayment of the class A notes. As a result, the maximum achievable rating is 'A+sf', as per Fitch's Structured Finance and Covered Bonds Counterparty Rating Criteria, as the risk entity is an operational continuity bank, and collections are swept to the transaction account bank daily. Regional Concentration Risk: The portfolio is highly exposed to the region of Catalonia where around 70% of the portfolio is located. Within Fitch's credit analysis, to address the regional concentration risk, higher rating multiples are applied to the base foreclosure frequency assumption to the portion of the portfolio that exceeds 2.5x the population within this region relative to the national total, in line with Fitch's European RMBS Rating Criteria. Treatment of Further Drawdowns (Criteria Variation): In Fitch's credit analysis of the portfolio, potential further drawdowns of the underlying mortgages were not considered when estimating portfolio loan-to-value trends. This is substantiated by the residual instances of further drawdowns granted to existing borrowers since April 2015 to date, driven by the stringent conditions that discourage debtors from requesting further advances. This variation to Fitch's European RMBS Rating Criteria, according to which potential further advances should be considered during asset analysis impacting weighted-average foreclosure frequency (WAFF) and weighted average recovery rate (WARR) outputs, currently has no impact on the model-implied ratings. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Increase in credit enhancement ratios as the transaction deleverages, able to fully compensate the credit losses and cash flow stresses commensurate with higher rating scenarios. Improved asset performance driven by stable delinquencies and defaults could lead to upgrades of the class B to E notes. A decrease in the WAFF of 15% and an increase in the WARR of 15% could imply upgrades of up to six notches. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade 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 the class A notes are capped at the 'AAAsf' maximum achievable rating in Spain, six notches above the sovereign IDR. Long-term asset performance deterioration such as increased delinquencies or larger defaults, which could be driven by changes to macroeconomic conditions, interest rate increases or borrower behaviour. An increase in the WAFF of 15% and a decrease in the WARR of 15% could imply downgrades of up to three notches. CRITERIA VARIATION Treatment of Further Drawdowns (Criteria Variation): In Fitch's credit analysis of the portfolio, potential further drawdowns of the underlying mortgages were not considered when estimating portfolio loan-to-value trends. This is substantiated by the residual instances of further drawdowns granted to existing borrowers since April 2015 to date, driven by the stringent conditions that discourage debtors from requesting further advances. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. Prior to the transaction closing, Fitch conducted a review of a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. Overall, and together with any assumptions 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. OBRASCON HUARTE: Moody's Cuts CFR to Caa1 & Alters Outlook to Neg. ------------------------------------------------------------------ Moody's Ratings has downgraded Obrascon Huarte Lain S.A.'s ("OHLA") corporate family rating to Caa1 from B3 and its probability of default rating to Caa1-PD from B3-PD. Concurrently, Moody's have downgraded the instrument rating of the outstanding EUR412 million backed senior secured notes due 2026 issued by OHL Operaciones S.A.U., a wholly owned subsidiary of OHLA, to Caa1 from B3. The outlooks on OHLA and OHL Operaciones S.A.U. have been changed to negative from stable. RATINGS RATIONALE The rating action reflects: -- OHLA' lack of progress towards the refinancing of the outstanding EUR412 million bonds, half of which are maturing in March 2025, and the remaining half in March 2026. -- Execution risks associated with the proposed capital increase, which is not underwritten. However, Moody's positively note the commitment of the majority shareholders, the Amodio brothers, to subscribe to the rights issue, thereby maintaining their material stake in the company. -- Moody's expectation that the current funding rates, a debt reduction and continued improvement in OHLA 's earnings profile are necessary for its capital structure to be sustainable. This view reflects the company's low albeit improving profitability, investments needs in associates and concessions, and the volatile nature of working capital typical of the construction business. The proposed capital increase and disposal of both Canalejas and the Service business are considered as key to reducing the debt load and improving the sustainability of the company's capital structure. Negotiations for the disposal of these assets are ongoing and also exposed to execution risk. -- Weak liquidity in light of current sizeable maturities of around EUR280 million, including EUR60 million borrowings due in 2024 and notes due in March 2025. This is partly mitigated by Moody's expectation that OHLA will generate positive free cash flow in 2024. At the same time, the rating is supported by OHLA's improved operating results, including positive FCF in 2023 albeit mainly supported by a sizeable working capital release, as well as management's actions to improve profitability and cash flow, such as focusing on smaller projects and conservative bidding. The rating action further reflects governance considerations associated with refinancing the notes well within the 12-month window before the first maturity date in March 2025, which is considered as aggressive financial policies and liquidity management. Financial strategy and risk management is a governance consideration under Moody's General Principles for Assessing Environmental, Social and Governance Risks methodology. LIQUIDITY OHLA's liquidity is weak. As of March 2024, the company had around EUR203 million in cash on hand, excluding cash sitting at joint-ventures and associates (EUR216 million) and cash used as collateral (EUR174 million), which is not necessarily immediately available to the parent. Moody's expect the cash balance together with expected internally generated cash flow and around EUR55 million proceeds from CHUM disposal and OWO will be sufficient to cover working capital needs and capital spending (including lease payments) and short-term debt maturities of around EUR60 million. However, these sources will not be sufficient to cover the EUR206 million notes maturing in March 2025. OHLA's next sizeable maturity is the remaining EUR206 million notes due in March 2026. OHLA does not have any committed long-term revolving facilities, which limits room for underperformance in its regular construction business or larger seasonal working capital swings than currently anticipated in Moody's forecasts. The current liquidity assessment does not include the proceeds from potential disposal of Canalejas (with a book value of around EUR184 million as of end-December 2024, including EUR7 million receivable related to subordinated debt) and Services business unit, albeit Moody's recognise that these could provide some liquidity buffer. STRUCTURAL CONSIDERATIONS OHL Operaciones S.A.U., is an indirect wholly owned subsidiary of OHLA and is the issuer of the outstanding EUR412 million backed senior secured notes, 50% of which are due in March 2025 and the remaining in March 2026, which represent the bulk of the debt capital structure and are therefore rated in line with the CFR. The notes are guaranteed by operating subsidiaries that generate at least 90% of the group's revenue and benefit from a customary security package, including pledge over shares in certain subsidiaries, certain bank accounts and intercompany receivables. RATIONALE FOR THE NEGATIVE OUTLOOK The negative outlook reflects increasing refinancing risks and execution risks around the timing of the capital increase and asset disposals. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Upward pressure on the ratings could arise if OHLA (1) successfully refinances 2025 and 2026 maturities, (2) it continues to grow earnings increasing EBITA margin above 3% on a sustained basis, (3) Moody's adjusted EBITA / Interest above 1.5x and (4) OHLA generates sustainably positive FCF and improves liquidity. Downward pressure on the ratings could arise if OHLA's fails to address upcoming maturities or if liquidity weakens, including because of persistently negative FCF. COMPANY PROFILE Headquartered in Madrid, Obrascon Huarte Lain S.A. (OHLA) is one of Spain's leading construction groups. The group's activities include its core engineering and construction business (including the industrial division); and the development of concessions in identified core markets in Europe, North America and Latin America. In 2023, OHLA generated around EUR3.1 billion in sales and EUR126 million in company-reported EBITDA (excluding the Services division). OHLA's main shareholders are the Mexican Amodio family (26%) via their investments in Forjar Capital S.L.U. The remaining shares are in free float, traded on the Spanish Stock Exchanges. The principal methodology used in these ratings was Construction published in September 2021. SOCIATA DI PROGETTO: DBRS Confirms BB(high) Issuer Rating --------------------------------------------------------- DBRS Ratings GmbH changed the trend on Societa di Progetto Brebemi S.p.A.'s (Brebemi or ProjectCo) ratings to Negative from Stable. It has also confirmed at BB (high) the Issuer Rating as well as the ratings on its EUR 307.0 million Senior Secured Loan, EUR 15.0 million Senior Secured Amortizing Floating-Rate Notes (Class A1 Notes), EUR 934.0 million Senior Secured Amortizing Fixed- Rate Notes (Class A2 Notes), and EUR 558.0 million Senior Secured Zero-Coupon Notes (Class A3 Notes). The recovery rating on all debt instruments is RR2. KEY CREDIT RATING CONSIDERATIONS The trend change reflects Morningstar DBRS' continued uncertainty regarding the approval of the next Economic and Financial Plan (PEF) and the potential that Brebemi will not recover the tariff increases missed in 2022–23, as per Morningstar DBRS assumptions. Even though Brebemi is in litigations in order to recover the lost tariff increases, we are not assuming this to happen in Morningstar DBRS forecast given little support from Authorities that have appealed the sentence on lost tariff recovery in order to not grant it. This has also been reflected in the lower-than-expected tariff increase of 2.3% in 2024, which does not allow for lost tariff recovery. Also reflected in this rating action is the unexpected worsening in the tolling regime preventing Brebemi from adequately adjusting toll rates and weak protections in the Project Agreement, allowing Authorities to undertake regulatory actions resulting in a negative impact on revenue generation. Based on Morningstar DBRS' base case, the credit rating confirmation reflects continuation of higher-than- expected traffic revenues and volumes. As of 2023, total traffic ramp-up has continued and has increased by 12.9% compared with 2022 levels primarily because of a better-than-expected performance in light vehicles (LVs) (14.8% higher in 2023 than in 2022). Heavy vehicles (HVs) still grew by 9.1% year-over-year (YOY) in 2023. Favorable traffic performance is also partly explained by the fact that Brebemi is still in the ramp- up stage, and it has therefore outperformed its peers in the Italian region, which grew by 3.8% in 2023. In the first five months of 2024, traffic volumes continue to be higher than expected for LVs (+5.4% versus 2023) and HVs (+5.5% versus 2023) showing to economic developments and new projects. Total traffic in the first five months of 2024 has increased by 5.4% compared with 2023. These better-than-expected volumes have slightly improved key financial metrics, commensurate with ProjectCo's current rating level. The minimum debt service coverage ratio (DSCR) under Morningstar DBRS base case from 2024 onwards is now 1.19 times (x) and 2023 historical DSCR was 1.28x, above lock-up of 1.25x, and forward-looking DSCR was 1.27x. Breakeven resilience is now 9.31%, which Morningstar DBRS still considers to be low and supportive of the current ratings as it is well below the 20%–40% level required for a project still in the ramp-up phase. CREDIT RATING DRIVERS A sustained improvement in traffic volumes that drives metrics to pre-pandemic levels, particularly the minimum DSCR across the forecast horizon to above 1.30x and a stronger breakeven on revenue of not lower than 20%, could lead to a positive rating action under Morningstar DBRS' base case. Also, certainty on future tariff increases that are better than expected could lead to a revision of the trend to Stable. On the other hand, further deterioration in traffic to levels lower than currently expected could lead to a negative rating action. Also, continuation of uncertainty on tariff setting or resulting tariff setting worse than expected could lead to a negative rating action. EARNINGS OUTLOOK Based on its base case, Morningstar DBRS assumes continuation of traffic ramp-up with a good performance in the next years. Morningstar DBRS has now changed its assumption on tariffs during the current regulatory period and is assuming tariffs to only increase with inflation in 2025–26 with no lost tariff increases recovery included in its forecast. In Morningstar DBRS' previous forecast, it assumed tariffs to increase by 5.61%, in line with management. Also, Morningstar DBRS assumes for the next regulatory period after 2026 to be in line with management's forecast but recognize existing uncertainty given so far little support has been shown by the authorities during the current regulatory period and regarding the approval of the next PEF. FINANCIAL OUTLOOK Based on its base case, Morningstar DBRS expects DSCR metrics to decline to a minimum of 1.19x in December 2025 and to remain below 1.30x until December 2027. Improvement of metrics thereafter is expected because of Morningstar DBRS' assumption of improvements in tariffs in the next regulatory. period A weaker-than-expected tariff setting could have a negative rating impact. Under Morningstar DBRS' base case, the DSCR will remain in lock-up until December 2026, when the company will be able to resume junior debt payment. CREDIT RATING RATIONALE Brebemi's credit ratings are supported by the: (1) strong economic fundamentals of the service area located in one of the wealthiest and most industrialized areas in Italy and Europe, (2) low service complexity and performance standard risk, (3) new toll road with limited amount of capital expending needed, and (4) experienced management team. Brebemi's credit ratings are constrained by: (1) the traffic volume forecasting risk, (2) the current limited ability to increase tariffs, (3) a loose contractual framework that allows for regulatory risk interventions, (4) weak revenue breakeven resiliency below the bottom of the range specified by Morningstar DBRS' methodology, and (5) the reduction of or delay in receiving the termination amount and associated refinancing risk. New Regulatory Period and Potential Rebalancing of the Economic and Financial Plan Negotiations on toll tariff increases and other amendments to the PEF have continued among the Grantor, Brebemi, and the Authorities. Negotiations and discussions have been ongoing since 2021, with little visibility yet on resolution. Toll Charges On December 28, 2023, a tariff increase of 2.3% for 2024 was approved, which equals to the projected inflation rate. This is lower than the expected 11.2% for 2024 in order to compensate for the 2022 and 2023 loss of tariff adjustments. The company filed an appeal against this decision also in February 2024, and the hearing on the appeal is yet to be held. Timing required to complete the above is highly uncertain, as it is mostly dependent on the responsiveness and cooperation of the government authorities involved and there is still a pending appeal by the MIT on the Council of State. Even though Morningstar DBRS sees positively that the Lazio government has approved the litigation started by Brebemi on the tariff increase, it has not factored any recovery of lost tariff increases during the current regulatory period, and it's has factored tariff increases in 2025–26 of 2.3%, in line with 2024 tariff increase. Liquidity Position Morningstar DBRS considers liquidity position to be adequate. Liquidity includes unrestricted bank accounts of EUR 45.3 million and a debt service reserve account of EUR 43.1 million., which Morningstar DBRS considers sufficient to meet Brebemi's senior debt service obligations of EUR 86.5 million in June and December 2024. Notes: All figures are in euros unless otherwise noted. ===================== S W I T Z E R L A N D ===================== PEACH PROPERTY: Fitch Lowers LongTerm IDR to 'CCC+' --------------------------------------------------- Fitch Ratings has downgraded Peach Property Group AG's Long-Term Issuer Default Rating (IDR) to 'CCC+' from 'BB' and its senior unsecured rating to 'B- from 'BB-'. All ratings have been removed from Rating Watch Negative (RWN). The Recovery Rating on its senior unsecured debt is 'RR3'. The downgrades reflect Peach's constrained liquidity ahead of its bulk debt maturities at end-2025, including its EUR300 million unsecured bond due in November 2025. Limited capital-market access means refinancing renegotiations will be a balance between willing shareholders, bondholders, and funding the group's needs for operational and capex requirements to improve the portfolio for the longer term. Fitch understands from management that the previous route of significant asset disposals is now less favoured. Secured debt due in 2025 and 2024, on the other hand, is likely to be refinanced by existing banks. The 'CCC+' IDR reflects the possibility of a restructuring of the unsecured bond. KEY RATING DRIVERS November 2025 Bond Refinancing: Management intends to focus on improving the portfolio's quality and lower vacancies to facilitate the bond refinancing in 2025, as capital-market access is limited and asset disposals are now not favoured. Fitch believes that this may result in negotiations to extend the bond maturity and other changes. An improved portfolio will also facilitate subsequent refinancings or disposals plans. Negotiations will likely include Peach's receptive shareholders who will want to protect their investment and promote the inherent long-term value of stable German residential-for-rent assets. Capex to Enhance Portfolio Quality: Peach plans to improve its residential-for-rent portfolio by reducing vacancy (end-2023: 7.4% or 2,000 units) through capex, which would increase rents and lower vacancy costs (5.2% of rents), thereby improving EBITDA and capital values. Achieving an estimated rent of around EUR7 per sqm per month for a previously vacant unit (Peach's in-place rent is EUR6.2 and recent lettings have been above EUR7) would reflect a double-digit return on capex. However, execution risks are tenant affordability, timing and costs to refurbish vacant units, and supply and demand dynamics of specific locations. Funding Constraints: The capex programme requires a combination of debt and equity funding. Peach currently does not have the liquidity for rent-and value-accretive capex and, hence, depends on a mix of shareholder funding, potential disposals and revolving credit facility (RCF) drawdowns, to improve the portfolio's quality and create additional rental income. Furthermore, a higher coupon for an extended bond, even if part-repaid, would constrain the group's cash flow. Unconducive Market Environment for Selling: Refinancing the bond by selling blocks of residential-for-rent assets would result in a significant reduction in Peach's equity value. If perceived as a distressed seller Peach would face unpalatable discounts for such portfolios, and also as the German residential-for-rent market has yet to trough. Further, retaining a smaller overall portfolio would reduce Peach's already weak profit margins. Updated Recovery Estimate: Fitch calculates recoveries at 55% based on the remaining unencumbered properties, which lead to a ranked recovery for senior unsecured debt of 'RR3' under its principal waterfall analysis. Fitch's previous 'RR5' for the BB IDR was not a bespoke calculation. The updated 'RR3' recovery estimate does not include residual values within pledged assets (loan-to-value (LTV) ratios at Peach's secured-funded SPVs average 43%) as the timing of each entity's monetisation is controlled by prior-ranking secured creditors. Constrained Financial Profile: Fitch forecasts Peach's net debt/EBITDA to remain around 19x-22x and interest cover to average 1.4x during 2024-2027. Even with no dividend, the group's free cash flow is an outflow, assuming EUR35 million of capex to maintain and enhance the portfolio. The group's end-2023 LTV was high at around 60%. DERIVATION SUMMARY Peach's portfolio of EUR2.4 billion at end-2023 is materially smaller than Fitch-rated German residential-for-rent peers Vonovia SE's (IDR: BBB+/Stable) EUR81 billion and Heimstaden Bostad AB's (BBB-/Negative) EUR28.6 billion. Peach's portfolio is more comparable to D.V.I. Deutsche Vermoegens- und Immobilienverwaltungs GmbH's (DVI, BBB-/Stable) EUR3.1 billion at end-2022. The Peach portfolio's average end-2023 in-place rent was EUR6.2 per sqm per month, indicating lower- quality assets and locations than Vonovia's German portfolio, which had rent of EUR7.74 sqm at end-2023, and DVI's Berlin-weighted portfolio rent of EUR8.5 sqm at end-1H23. The difference in these portfolios' qualities is also reflected in their respective vacancy rates, where Peach reported 7.4% at end-2023, above the 1.5% of both DVI and Vonovia at end-1H23 and end-2023, respectively. Peach's interest cover, forecast at around 1.3x in 2024, is lower than Heimstaden Bostad's 1.4x (increasing thereafter). Interest cover of DVI and Vonovia is both forecast to remain at or above 2.3x over the next three years. Peach's end-2023 remaining average debt maturity is low at 2.9 years, compared with Vonovia's 6.9 years, and at or above eight years for Heimstaden Bostad and DVI, putting liquidity under significant pressure and driving Peach's ratings. KEY ASSUMPTIONS Fitch's Key Assumptions Within Its Rating Case for the Issuer - Annual rental growth around 4.0%, comprising 1.5% for phased indexation/re-lettings and 2.4% for reletting of units that have been refurbished - Hybrid bond interest not deferred but paid at 9.25% margin plus policy rate - Dividends of 50% of cash from operations (CFO) from 2026 onwards - Fitch assumes around EUR35 million of renovation and development capex per year during 2024-2027 (2023: EUR13 million). This will not reduce vacancy further but will keep it stable at around 7%-8% - Completion of Peach's Swiss residential-for-sale development in 2025 with net disposal proceeds of EUR30 million - Interest costs on euro-denominated variable-rate debt to rise based on Fitch's Global Economic Outlook policy rate assumptions (2024: 3.75%; 2025 and thereafter: 3.0%) RECOVERY ANALYSIS Its recovery analysis assumes that Peach would be liquidated rather than restructured as a going-concern (GC) in a default. Recoveries are based on the EUR371 million unencumbered portfolio, using the end-December 2023 independently-valued investment property portfolio. Fitch applies a standard 20% discount to these values. Fitch assumes no cash is available for recoveries and that its EUR75 million RCF is fully drawn (end-2023: EUR10.6 million drawn). After deducting a standard 10% for administrative claims, the total amount of unencumbered investment properties Fitch assumes available to unsecured creditors is EUR266 million. This compares with unsecured debt totaling EUR488 million, including the EUR300 million bond, an equally-ranking EUR51 million convertible bond, the RCF and EUR55 million promissory notes. Fitch's principal waterfall analysis generates a ranked recovery for senior unsecured debt of 'RR3' (a waterfall generated recovery computation output percentage of 55% based on current metrics and assumptions). The 'RR3' indicates a 'B-' unsecured debt instrument rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Execution of a plan to address 2025's refinance risk that is not viewed by Fitch as a distressed debt exchange - Twelve-month liquidity score above 1.0x combined with a sustainable capital structure with limited funding risks Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - A material likelihood of a debt restructuring on terms that would constitute a distressed debt exchange - Senior unsecured rating: reductions in the unencumbered property portfolio relative to unsecured debt, adversely affecting recoveries LIQUIDITY AND DEBT STRUCTURE Main Liquidity Constraints in 2025: At end-2023, readily available cash of EUR19.7 million (excluding EUR1.8 million of cash pledged as collateral) together with EUR64 million undrawn under the EUR75 million RCF (maturity in April 2025) covered EUR31 million of secured debt maturing in 2024 (if this is not rolled over by existing lenders). To preserve liquidity, Peach has stopped paying interest on its hybrid warrant bond since 3Q23 and did not pay a cash dividend in 2023. Its April 2024 equity raise brought in EUR17.7 million. End-2025 Refinance Risk: In 2025 Peach will face EUR588 million of bulk debt maturities, comprising EUR55 million promissory notes (March), the EUR300 million unsecured bond (November), and EUR233 million of secured debt (mainly December). Consistent with sector peers, Fitch expects German bank secured loans to be rolled over, aided by a secured LTV (excluding developments) of 43% at end-2023. As Peach's capital-market access is currently limited, this is unlikely to be a source of funding for the repayment of its unsecured bond. In January 2023, Peach repaid the year's only debt maturity - the remaining EUR96 million of its EUR250 million unsecured bond. Thereafter, through a CHF112.4 million mandatory convertible bond issued in January 2023, Peach raised EUR68.4 million of equity cash proceeds and converted EUR11.3 million of hybrid debt into equity. Further debt proceeds of EUR33 million were received from newly issued secured debt in 2H23 and another EUR17.7 million of equity was raised in March 2024 from one of its anchor shareholders. MACROECONOMIC ASSUMPTIONS AND SECTOR FORECASTS Fitch's latest quarterly Global Corporates Macro and Sector Forecasts data file which aggregates key data points used in its credit analysis. Fitch's macroeconomic forecasts, commodity price assumptions, default rate forecasts, sector key performance indicators and sector-level forecasts are among the data items included. 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 ----------- ------ -------- ----- Peach Property Group AG LT IDR CCC+ Downgrade BB senior unsecured LT B- Downgrade RR3 BB- Peach Property Finance GmbH senior unsecured LT B- Downgrade RR3 BB- PG POLARIS: S&P Assigns 'B' LT Issuer Credit Rating, Outlook Pos. ----------------------------------------------------------------- S&P Global Ratings assigned its 'B' long-term issuer credit rating to PG Polaris Bidco S.a.r.l. (Rosen), and its 'B' issue and '3' recovery ratings to the term loan facility. The positive outlook reflects that the company could implement its growth strategy quicker than expected and outperform its base-case over the next 12-18 months, notably with respect to free operating cash flow (FOCF) generation. Private equity firm Partners Group Holding AG has acquired Switzerland-based oil and gas service company Rosen Group. The new holding entity is PG Polaris Bidco S.a.r.l. (Rosen) after its recent name change from PG Investment Company 59. Rosen raised a $1.15 billion term loan B (TLB) and a $300 million revolving credit facility (RCF; currently undrawn). The debt issuance's proceeds will fund the purchase price and the associated transaction costs. Rosen's fair business risk profile reflects its leading position in a niche market, technological leadership, and long-standing relationships with its customer base. Rosen is a niche market player offering diagnostic pipeline services (asset diagnostic solutions, 95% of 2023 group revenue) and related consultancy services (integrity decision support, 5%) for the global oil and gas industry. It serves its customer base from more than 25 locations worldwide. Rosen's strong technological differentiation is nurtured in-house with capabilities along the pipeline diagnostic value chain, reaching from research and development (R&D), software development, data analytics, and consultancy, to manufacturing its own pipeline diagnostic systems. This results in the company's advantageous technological edge and leading market position. Since 2018, Rosen has reported an S&P Global Ratings-adjusted EBITDA (this includes about $45 million R&D costs per year) in the range of $108 million-$145 million, with a step-up in 2023 toward $219 million. S&P expects the company will increase its profitability over the next years, reaching above a 30% adjusted EBITDA margin. The main growth drivers include an aging global pipeline estate with higher inspection needs, more stringent regulations, and an undersupply of high-tech diagnostic solutions. In particular, the new market opportunities created through its cutting-edge diagnostic systems, such as the electromagnetic acoustic transducer (EMAT) -- the EMAT-C Ultra will be launched in the coming years -- and any associated technological improvements will drive revenue and profits, which will deter competition. S&P said, "Our business risk assessment is constrained by Rosen's scale, exposure to the oil and gas industry, and limited customer and geographic diversification. With a revenue base of about $741 million in 2023, we view the company as small in relation to rated peers with similar business risk profiles that operate in similar end markets (e.g., $4.3 billion for Weatherford International PLC, $7.2 billion for NOV Inc., and $6.7 billion for TechnipFMC PLC). Rosen's small scale, together with limited offered services focusing on pipeline diagnostics, and some customer concentration within the oil and gas industry (the top 10 customers result in 45% of revenues), constrains our assessment. "Rosen's financial risk profile reflects its financial sponsor ownership. We expect the recent transaction, raising $1.15 billion in debt, will lead to an S&P Global Ratings-adjusted leverage of 5.0x-5.5x in 2024, with benign volatility. We view Rosen's service-oriented business model as largely unaffected by commodity price cycles and protected by stringent regulatory requirements for pipeline operators. Credit metrics are therefore much less volatile than those of other companies in the commodities value chain, provided there are no financial policy changes. That said, the ownership by financial sponsor Partners Group constrains our assessment. "In 2024, we forecast S&P Global Ratings-adjusted EBITDA of $230 million-$250 million will result in a positive FOCF of around $20 million-$40 million, constrained by its cash outflows related to interest, tax, and capital expenditure (capex) of about $200 million. We expect Rosen will capitalize on its growth strategy and reach adjusted EBITDA above $250 million after 2024, resulting in FOCF of more than $35 million. In our view, it is essential to grow FOCF and not just EBITDA when assessing the possibility of a higher rating in the future, particularly in light of the current debt stock." The positive outlook reflects the one in three chance that Rosen could implement its growth strategy quicker and more successfully than expected. Moreover, that it outperforms our base-case over the next 12-18 months. S&P said, "Under our current base-case, we expect adjusted debt to EBITDA of about 5.0x-5.5x, positive FOCF of about $20 million-$40 million in 2024, and FOCF above $35 million in 2025. "We could change the outlook to stable if Rosen is unable to deliver on its growth projections. This includes achieving significant cash conversion to increase profitability over the coming 12 months or performing within our base-case range." S&P could upgrade Rosen within 12 months if: -- The company delivers a sustainable track-record of high profitability exceeding $270 million in 2025, leading to FOCF well above $50 million; together with -- Robust credit metrics, with adjusted leverage declining below 5.0x and FFO/debt well above 10% on a sustainable basis. S&P expects the financial policy to stay consistent with the above outlined metrics. =========== T U R K E Y =========== RONESANS GAYRIMENKUL: Fitch Gives B+ LongTerm Foreign Currency IDR ------------------------------------------------------------------ Fitch Ratings has published Turkish property company Ronesans Gayrimenkul Yatirim A.S.'s (RGY) Long-Term Foreign Currency Issuer Default Rating (IDR) and senior unsecured rating of 'B+'. The Rating Outlook for the IDR is Stable. The ratings reflect RGY's portfolio of 12 shopping centres in Turkey, and favourable operational datapoints in 2023 despite the 1H23 earthquake and floods affecting its properties. RGY's initial public offering (IPO) in April 2024 raised TRY3.7 billion, most of which was used to repay debt. As RGY's real estate assets and revenue sources are all located in Turkiye, its IDR is informed by the country's operating environment and Turkiye's 'B+' Long-Term Foreign Currency IDR and Positive Outlook. RGY's Long-Term Foreign Currency IDR is not constrained by Turkiye's Country Ceiling of 'B+'. KEY RATING DRIVERS Proven Access to Capital: Turkey's high inflation has limited the availability of local currency capital. Despite this, RGY successfully raised TRY3.7 billion (EUR106 million) through an IPO. Proceeds were used to repay bank loans (65%) and a related-party loan. They will also part-fund the construction of 478 residential units and 25 retail spaces at an estimated cost of EUR120 million at Maltepe Park. Additionally, RGY arranged a EUR60 million project financing loan with a 5.5 year term in December 2023 and refinanced a EUR155 million secured loan maturing in May 2023 with a EUR130 million amortising seven-year loan. Upside from Residential Development: Field preparation work has begun on the land adjacent to the shopping centre and office building at Maltepe Park. Funds including those from the IPO and a project loan, enable RGY to undertake this development. Moreover, Fitch expects RGY to phase this development to mitigate risks. RGY is confident in the demand from cash buyers for these units, and not dependent on a reactivated mortgage market. The contractor for the project will be parent Ronesans Holding A.S. (RH), on an "arm's-length" basis, which has a long track record of developments in the region. Concentrated, High-Quality Portfolio: RGY's core shopping centre retail portfolio, valued at about EUR2.6 billion at end-2023 (2022: EUR2.2 billion, both figures at share), consists of 12 retail assets across eight cities, concentrated in Istanbul, Turkiye's largest metropolis. Asset concentration exists with the group's top 10 properties representing over 90% of rental income. Occupancy rates reached 99% at April 2024 (YE23: 97%), an improvement from 94% prior to the pandemic. Footfall exceeded 2019's pre-pandemic figures by 15% (from 95 million to 109 million). The occupancy cost ratio (OCR) stands at a modest 9% (YE19: 13.4%). Tenants' sales have risen by 120% on average during 2023, outpacing the average inflation rate of 65%, and indicating the potential for rental income growth. As of May 2024, year-to-date rent collection rate was 99%, with bad debt 0.5% of rents. Capacity to Increase Rents: Most of RGY's leases' base rents are tied to the consumer price index (CPI). Additionally, leases include turnover rent based on monthly tenants' sales. Reduced competition and a dominant position within catchment areas have led to increased footfall and tenants' sales. For example, RGY is the only player in Kahramanmaras and Sanliurfa. Affected by High Inflationary Environment: Performance was further boosted by a high-income customer base and quick purchase behaviour in Turkiye's inflationary setting. Turnover rent has significantly risen to 40% of total rent (pre-pandemic: 10%) protecting RGY from the base rent lag on inflation. This explains 2023's total rents escalation by about 70% yoy (+97% yoy to April 2024), above the average indexation, and despite the impact of the 1H23 earthquake and floods. Past Support From Shareholders: In April 2023, RGY reduced its debt by repurchasing and retiring USD110 million of its USD300 million Eurobonds. The remaining balance was repaid by a related-party (shareholders RH and GIC) loan and RGY's own cash. Persisting Foreign Exchange Risks: The foreign exchange risk is pronounced, as 93% of RGY's end-2023 debt was denominated in either US dollars or euros, contrasting with its exclusively Turkish lira (TRY) revenues - a currency that has lost over 60% of its value in the preceding two years. RGY partially mitigates this exposure by hedging approximately 19% of its foreign currency debt with FX forwards. While RGY is expected to further decrease its currency risk by increasing its TRY-denominated debt and maintaining cash reserves in euros or USD, a significant currency mismatch is anticipated to persist. Shareholder Agreement Insulates RGY: The shareholder agreement between RH (68% owner) and GIC Private Limited (17.8%) establishes ring-fencing to limit RH's ability to extract funds from RGY. The agreement requires consent from both shareholders on matters such as dividend payments and capital structure activities. RGY has separate financing, with no cross-defaults or guarantees to any RH entity and is managed separately from RH. DERIVATION SUMMARY RGY faces a volatile operating landscape, distinctly more challenging than that of its EMEA real estate sector peers. Inflation in Turkiye has exceeded 50% over the past year, notably higher than the regional average. The Turkish Lira has also depreciated significantly compared to other EMEA currencies, increasing RGY's foreign exchange risk. This is because RGY's debts are primarily in euros and US dollars, while its revenues are in Turkish Lira, a situation stemming from a 2018 decree preventing foreign currency indexing for leases. This currency imbalance pressures RGY's credit profile. In contrast, real estate firms like NEPI Rockcastle N.V. (BBB+/Stable) and Globalworth Real Estate Investments Limited (BBB-/Negative) in Central and Eastern Europe have euro-linked leases, shifting currency risk to tenants. Despite economic headwinds, RGY has solidified its market presence as other companies have exited, leading to a record footfall of 109 million and a 99% occupancy rate, up from 95 million and 94% before the pandemic, matching or surpassing those in more stable economies. With an OCR of 9% at end-2023, RGY compares favourably to its peers. Turnover rents, typically under 10% of EMEA peers' rental income, now represent over 40% of RGY's revenue due to inflation and robust consumer spending. KEY ASSUMPTIONS Fitch's Key Assumptions Within Its Rating Case for the Issuer: - Rental income to increase by around 23% in 2024 mainly driven by inflation and increasing rents, but slowing to around 9% following an expected slowdown in inflation based on Fitch's Global Economic Outlook June 2024. - Portfolio assets' capex limited to maintenance but increasing as the Maltepe Project starts development. - Sales of Maltepe Park's residential units to commence in 2026. - Moderate dividend payments from 2026 at about 25% of funds from operations. - Refinancing during 2024-2027 at an average interest cost for local and foreign currency of 18%. RECOVERY ANALYSIS Consistent with its approach for real estate companies, its recovery analysis is based on a liquidation value approach, which yields a higher value than a going-concern approach. It assumes RGY will be liquidated in a bankruptcy rather than re-organised. Fitch's Country-Specific Treatment of Recovery Ratings Rating Criteria caps RGY's recovery rating at RR4 (50%, Turkiye is a group D country) indicating a 'B+' senior unsecured debt rating. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade - Even after fulfilling the factors below, RGY's Long-Term Foreign Currency IDR is unlikely to be rated above Turkiye's Long-Term Foreign Currency IDR ('B+'/Outlook Positive), nor its 'B+' Country Ceiling; - EBITDA/Interest coverage ratio above 1.4x; - 12 month liquidity coverage above 1x . Factors that could, individually or collectively, lead to negative rating action/downgrade - Failure to address refinancing risk ahead of debt maturities, including clarifying the expected currency, interest rate and tenor of refinanced debt; - Further weakening of Turkish economic conditions, further significant depreciation in the lira, and/or downgrade of the sovereign rating; - Net debt/EBITDA above 10x over a sustained period; - Reduced headroom in secured debt covenants leading to a breach of covenants. LIQUIDITY AND DEBT STRUCTURE Sufficient 2024 Liquidity: At end-2023, RGY held cash in both TRY and euro, equating to around TRY1.6 billion (TRY5.3 billion after IPO proceeds). Total debt maturing in 2024 amounts to TRY3 billion, resulting in a liquidity ratio of 1.6x for the remainder of the year. Furthermore, in April 2024 RGY raised TRY3.7 billion (USD114 million) through an IPO. It used USD72 million to pay down part of the 2023 related-party loan, leaving a debt of USD58 million (of which USD40 million has a maturity date of 2030). The remaining funds from the IPO, along with a specific EUR60 million project financing loan, will fully cover the first phase of Maltepe's major residential development costs estimated at about EUR60 million (out of a total EUR120 million). The company does not have a committed revolving credit facility, in line with market practice in Turkiye. ISSUER PROFILE RGY owns and operates 12 shopping centres, and one office, located in the largest cities of Turkey. DATE OF RELEVANT COMMITTEE June 25, 2024 MACROECONOMIC ASSUMPTIONS AND SECTOR FORECASTS Fitch's latest quarterly Global Corporates Macro and Sector Forecasts data file which aggregates key data points used in its credit analysis. Fitch's macroeconomic forecasts, commodity price assumptions, default rate forecasts, sector key performance indicators and sector-level forecasts are among the data items included. 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 ----------- ------ -------- ----- Ronesans Gayrimenkul Yatirim A.S. LT IDR B+ Publish WD senior unsecured LT B+ Publish RR4 WD ULKER BISKUVI: Fitch Hikes LongTerm IDR to 'BB-' ------------------------------------------------ Fitch Ratings has upgraded Ulker Biskuvi Sanayi A.S.'s (Ulker) Long-Term Issuer Default Rating (IDR) to 'BB-' from 'B+'. The Outlook is Positive. Fitch has also upgraded its senior unsecured rating to 'BB-' from 'B+' and assigned an expected 'BB-(EXP)' to Ulker's planned USD550 million seven-year senior unsecured notes. Both debt ratings have a Recovery Rating 'RR4'. The assignment of a final rating for the new notes is subject to the completion of the transaction and final documentation conforming to information already received. Ulker's IDR remains constrained at one notch above the 'B+' Country Ceiling of Turkiye, where the group generates over 60% of its EBITDA. Its Standalone Credit Profile (SCP) corresponds to a higher IDR given significant deleveraging since 2021, improved profitability and increased scale with over USD400 million EBITDA in 2023. The rating is supported by Ulker's strong position in the Turkish confectionery market, which has enabled it to pass on cost increases, supporting healthy profitability and positive free cash flow (FCF) generation. The Positive Outlook is driven by the same for Turkiye's sovereign rating. It also reflects Ulker's improved credit profile and reduced liquidity risks after its refinancing of material maturities in 2023 and an announced advance refinancing of its USD600 million Eurobond due in 2025. KEY RATING DRIVERS New Notes Improve Financial Flexibility: Proceeds from the planned USD550 million senior unsecured notes will be used to refinance the outstanding USD600 million Eurobond due in October 2025, which will make the transaction neutral to net leverage and extend the debt maturity profile. Country Ceiling Constraint: Ulker's IDR continues to be constrained by the 'B+' Country Ceiling of Turkiye, as EBITDA from countries with higher Country Ceilings - Saudi Arabia (AA-), United Arab Emirates (AA+) and Kazakhstan (BBB+) - is not sufficient to cover the group's hard-currency interest expense. Fitch expects hard-currency interest coverage to gradually improve toward 0.9x by end-2027 from an estimated 0.6x in 2024 due to assumed growing profits in Ulker's international markets and further deleveraging. However, as coverage will still remain below the 1.0x threshold for applying a higher Country Ceiling to 2026, Fitch continues to apply Turkiye's Country Ceiling to Ulker's IDR. Cocoa Prices Pressure 2025 Margin: Fitch expects most of the negative pressure from sharply higher cocoa prices in 2024 to start hitting Ulker's EBITDA margin from 2H24, but mostly in 2025, due to the group's hedging. Fitch estimates Fitch-adjusted EBITDA margin to slightly decline to 18.3% in 2024 (2023: 18.8%) and further to 17.4% in 2025. Fitch expects EBITDA margin to recover to 19% by 2027 as Ulker gradually passes on higher costs to consumers, cost of other raw materials, such as sugar and wheat, falls and also due to management initiatives and efficiency savings. Resilient Performance: Fitch assumes only a modest impact on sales volumes from price increases due to a recovery of consumer sentiment in most markets of operations, Ulker's strong pricing power supported by the appeal of its products, and resilient consumer demand in the confectionary category. Fitch projects high-inflation driven organic revenue growth in Turkiye, and mid-to-high single-digit organic sales growth in international markets with reported revenue benefiting from positive foreign-exchange (FX) impact. Low Leverage: Fitch forecasts Fitch-calculated EBITDA net leverage will fall to 1.5x in 2024-2025 despite expected pressure on profitability from high cocoa prices and an unfavourable impact on costs and debt from further Turkish lira depreciation. The metric fell to 1.9x at end-2023 (2022: 2.9x) due to strong operating performance with EBITDA almost doubling, which was only partly offset by FX-driven increase in debt reported in Turkish lira. Ulker has reaffirmed its commitment to maintaining leverage below 2.0x, with ample headroom to its rating sensitivities for the IDR, albeit constrained by the Country Ceiling. Strengthening Treasury Policies: Ulker continues to demonstrate a strengthening financial policy by addressing material debt maturities in advance, boosting liquidity since end-2022 and consistent deleveraging towards its stated leverage targets. Nevertheless, loans to related parties remain a credit weakness, as Ulker still has about USD66 million of loans issued to its parent, Yildiz Holding A.S. No new loans to related parties were issued since 2022 and Fitch expects this discipline to continue. Positive FCF: Fitch projects Ulker's FCF to remain positive over 2024-2027, albeit temporarily lower at 1.5%-2% (2023: 6.2%) of revenue in 2024-2025, due to increased working-capital needs driven by higher raw material costs. From 2026 Fitch projects FCF margin improvement to around 5%, as EBITDA margin recovers and working-capital requirements normalise. Fitch does not assume material capex or dividends in the near term. All this should help to further build up liquidity. High FX Risks: Ulker's foreign operations and policy of maintaining significant share of cash in hard currencies (77% as of end-2023) help reduce FX exposure arising from its debt being almost fully denominated in hard currencies. Fitch estimates foreign operations to account for 31% of Ulker's revenue and 38% of EBITDA in 2024, due to hard currency-denominated exports and sales in Saudi riyal and United Arab Emirates dirham, both of which are pegged to the US dollar. Market Leader in Turkiye: Ulker's ratings continue to benefit from a strong position as the largest confectionery producer in Turkiye, with a 35% share in the snack market in 2023. It has leading market positions in chocolate and biscuits, and the second-largest share in cakes. Ulker is also a leader in Saudi Arabia's and Egypt's biscuit markets, as well as in Kazakhstan's confectionary production. Ringfencing from Parent: The rating is predicated on Ulker being ring-fenced from the rest of Yildiz, and its assumption that Ulker's cash flows will not be used to service the substantial debt of its parent or at Ulker's sister companies. However, Fitch includes in its calculation of leverage metrics the guarantees Ulker provides for third-party obligations (2023: TRY958 million). DERIVATION SUMMARY Ulker's credit profile is comparable to that of European frozen foods producer Nomad Foods Limited (BB/Stable), which enjoys similar scale and reasonable market share in its sector, but with weaker operating margins and higher leverage. The latter is balanced by Ulker's higher exposure to FX risks and weaker operating environment. Ulker's credit profile is weaker than that of Conagra Brands, Inc. (BBB-/Stable), the second-largest branded frozen food producer globally with operations mostly in the US. Despite Ulker's comparable profitability and significantly lower leverage, the rating differentiation with Conagra's is justified by the significantly larger scale of the US company, and lower risks related to FX and the operating environment. Ulker is rated lower than Mexico-based Grupo Bimbo, S.A.B. de C.V. (BBB+/Stable), the world's largest baked-goods producer in revenue, due to its smaller scale and geographic footprint. Ulker has similar leverage but stronger operating and FCF margins. Ulker's credit profile is stronger than Argentinean confectionery producer Arcor S.A.I.C.'s (B/Stable). Arcor's IDR is one notch higher than Argentina's Country Ceiling of 'B-' due to its strong debt service ratio, as per Fitch's criteria. Both companies' credit profiles benefit from the strength of local brand geographic diversification, and from around a third of revenue generation outside their domestic markets. Both are exposed to FX risks due to substantial debt in hard currencies. At the same time Ulker's rating benefits from larger scale, stronger EBITDA margins and lower leverage. Ulker is rated lower than Coca-Cola Icecek AS (CCI; BBB/Stable), which generates the majority of sales and EBITDA outside Turkiye and has a different applicable Country Ceiling (Kazakhstan, BBB+), where CCI generates enough cash flows to cover hard-currency interest expenses with sufficient headroom. CCI's ratings also benefit from a one-notch uplift for potential support from The Coca-Cola Company. CCI is also bigger in sales and EBITDA than Ulker, while having comparable leverage. Ulker is rated higher than Sigma Holdco BV (B/Stable), the world's largest plant-based spread producer. Ulker is smaller in scale, less geographically diversified and generates lower EBITDA margins, but has significantly lower leverage than Sigma. No parent-subsidiary linkage or operating environment aspects affect Ulker's rating. Fitch would consider linking Ulker's rating to Yildiz's credit profile if the current ring-fencing weakens. KEY ASSUMPTIONS Fitch's Key Assumptions Within Its Rating Case for the Issuer: - US dollar to Turkish lira at 38 at end-2024 and 41 at end-2025 - Double-digit organic revenue growth in Turkey, driven by high inflation in the country, and mid-to-high single-digit organic sales growth in international markets with reported revenue benefiting from positive FX impact - EBITDA margin declining to 18.3% in 2024 (2023: 18.8%), and further to 17.4% in 2025, driven by cocoa price inflation, before recovering toward 19.2% in 2027 - No further investments in financial assets or loans to related parties - Capex at around 2.7 % of revenue over 2024-2027 - No common dividends - No M&A RECOVERY ANALYSIS Average Recovery for Senior Unsecured Notes: In its recovery analysis, Fitch follows the generic approach applicable to 'BB' category issuers, leading to the outstanding and announced senior unsecured notes being rated in line with the IDR at 'BB-' with 'RR4'. RATING SENSITIVITIES Factors That Could, Individually or Collectively, Lead to a Positive Rating Action/Upgrade: - Upgrade of Turkiye's Country Ceiling in combination with - EBITDA net leverage remaining below 3.5x, supported by healthy operating performance and a consistent financial and cash-management policy - Stable market shares in Turkiye or internationally translating into resilient operating margins - Consistently positive FCF Factors That Could, Individually or Collectively, Lead to a Negative Rating Action/Downgrade: - Downgrade of Turkiye's Country Ceiling to below 'B+' - Deteriorated liquidity position with an inability to repay or refinance debt maturing in 2025 on a timely basis - EBITDA net leverage above 4.5x due to M&As, investments in high-risk securities or related-party transactions leading to significant cash leakage outside Ulker's scope of consolidation - Increased competition or consumers trading down that erode Ulker's share in key markets and leading to deteriorating operating margins - Neutral to negative FCF on a sustained basis LIQUIDITY AND DEBT STRUCTURE Comfortable Liquidity: At end-2023, Ulker had TRY11.6 billion of cash relative to TRY5.5 billion of short-term debt. Fitch expects its short-term liquidity to further strengthen after the planned refinancing of USD600 million Eurobond due in October 2025. Post-refinancing, the next material debt maturity will include an approximately USD417 million syndication loans due in 2026 (including an EUR75 million loan from IFC in April 2024), which Fitch assumes will be refinanced in advance. MACROECONOMIC ASSUMPTIONS AND SECTOR FORECASTS Fitch's latest quarterly Global Corporates Macro and Sector Forecasts data file which aggregates key data points used in its credit analysis. Fitch's macroeconomic forecasts, commodity price assumptions, default rate forecasts, sector key performance indicators and sector-level forecasts are among the data items included. ESG CONSIDERATIONS Ulker has an ESG Relevance Score of '4' for Group Structure due to the complexity of the structure of its parent company, Yildiz, and material related-party transactions. This has a negative impact on the 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 ----------- ------ -------- ----- Ulker Biskuvi Sanayi A.S. LT IDR BB- Upgrade B+ senior unsecured LT BB-(EXP)Expected Rating RR4 senior unsecured LT BB- Upgrade RR4 B+ [*] Fitch Ups Local Curr. IDRs of 5 Turkish Bank Subsidiaries to B+ ------------------------------------------------------------------- Fitch Ratings, on June 27, 2024, upgraded the Long-Term Local-Currency (LTLC) Issuer Default Ratings (IDRs) of five privately-owned Turkish bank subsidiaries to 'B+' from 'B' and removed them from Rating Watch Positive (RWP). Fitch also upgraded the National Long-Term Ratings to 'AA-(tur)' from 'A+(tur)'. Fitch has affirmed the Long-Term Foreign-Currency (LTFC) IDRs at 'B'. The Outlooks on the Long-Term IDRs are Positive mirroring those on the parents, while the Outlooks on the National Ratings are Stable. The rating actions follow the recent rating actions on the parent banks (note on 'Fitch Affirms YKB's IDR at 'B'/Positive; Upgrades VR to 'b+', Fitch Affirms Akbank's LTFC IDR at 'B'/Positive; Upgrades VR to 'b+', and 'Fitch Affirms Isbank's LTFC IDR at 'B'; Upgrades LTLC IDR and VR; Outlooks Positive' dated June 13 and 14, 2024). The non-bank financial institutions (NBFI) subsidiaries of the privately-owned Turkish banks are: 1. Ak Finansal Kiralama A.S. (Ak Leasing), 2. Is Finansal Kiralama Anonim Sirketi (Is Leasing), 3. Yapi Kredi Faktoring A.S. (Yapi Kredi Faktoring), 4. Yapi Kredi Finansal Kiralama A.O. (Yapi Kredi Leasing) and 5. Yapi Kredi Yatirim Menkul Degerler A.S. (Yapi Kredi Yatirim). KEY RATING DRIVERS Support-Driven Ratings: The NBFIs' Long-Term IDRs are driven by their Shareholder Support Ratings (SSRs), and are equalised with those of their respective parent, reflecting Fitch's view that they are core and highly-integrated subsidiaries. The Positive Outlooks mirror those on their respective parent, which in turn reflect the improvement in the banks' standalone strength as well as the positive impact of the improving operating environment on their credit profiles. Fitch is not able to assess the subsidiaries' intrinsic strength as all companies are highly integrated into their respective parents and their franchises rely heavily on their parents. The ratings are underpinned by potential shareholder support, but the LTFC IDRs are capped at 'B' by their parents' LTFC IDRs, due to its assessment of potential intervention risk from the Turkish government. The upgrades of the LTLC IDRs mirror the upgrades of the parent banks, which reflects lower government intervention risk in LC. Highly Integrated Subsidiaries: The ratings of the NBFI subsidiaries reflect their close integration with their parents, the reputational risks of the subsidiaries' defaults for their broader groups, and their ultimate full or majority ownership by their respective parent. The subsidiaries offer core products and services (leasing, factoring and investment services) in the domestic Turkish market. High Support Propensity: The cost of support would be limited as the subsidiaries are small compared with their parents and their total assets usually do not exceed 3% of group assets. Together with the other support factors this means Fitch believes the parents' propensity to support remains very high. However, the ability to support is limited by the respective parent's creditworthiness as reflected in their ratings. Upgrade of National Ratings: All subsidiaries' National Ratings and their Outlooks are equalised with their respective parent. The upgrades reflects those of the parents, which in turn are driven by the upgrade of their LTLC IDRs. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The subsidiaries' LT IDRs are sensitive to a downgrade of their parents' LT IDRs or to a deterioration in the operating environment, which, for example, could be triggered by a sovereign downgrade. The ratings could be notched down from the parent on material deterioration in the parent's propensity or ability to provide support, or if the subsidiaries become materially larger relative to the parent's ability to support. The ratings could also be notched down from their parent if the subsidiaries' strategic importance is materially reduced through, for example, a substantial reduction in operational and management integration or ownership, or a prolonged period of under-performance. A downgrade of the parents' National Ratings would also be likely to be mirrored in the subsidiaries' ratings. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades of the parents' ratings or revision of their Outlooks would be reflected in the subsidiaries' ratings. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS The entities' ratings are linked to their parent bank's ratings. ESG CONSIDERATIONS The ESG Relevance Score for Management Strategy for all five NBFIs is '4', in line with their parents' score. This reflects the high regulatory burden on most Turkish banks. Management's ability to determine strategy is constrained by regulatory interventions and creates an additional operational burden for the respective parent banks. The alignment reflects Fitch's view of high integration. 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 ----------- ------ ----- Is Finansal Kiralama Anonim Sirketi LT IDR B Affirmed B ST IDR B Affirmed B LC LT IDR B+ Upgrade B LC ST IDR B Affirmed B Natl LT AA-(tur)Upgrade A+(tur) Shareholder Support b Affirmed b Ak Finansal Kiralama A.S. LT IDR B Affirmed B ST IDR B Affirmed B LC LT IDR B+ Upgrade B LC ST IDR B Affirmed B Natl LT AA-(tur)Upgrade A+(tur) Shareholder Support b Affirmed b Yapi Kredi Finansal Kiralama A.O. LT IDR B Affirmed B ST IDR B Affirmed B LC LT IDR B+ Upgrade B LC ST IDR B Affirmed B Natl LT AA-(tur)Upgrade A+(tur) Shareholder Support b Affirmed b Yapi Kredi Faktoring A.S. LT IDR B Affirmed B ST IDR B Affirmed B LC LT IDR B+ Upgrade B LC ST IDR B Affirmed B Natl LT AA-(tur)Upgrade A+(tur) Shareholder Support b Affirmed b Yapi Kredi Yatirim Menkul Degerler A.S. LT IDR B Affirmed B ST IDR B Affirmed B LC LT IDR B+ Upgrade B LC ST IDR B Affirmed B Natl LT AA-(tur)Upgrade A+(tur) Shareholder Support b Affirmed b =========================== U N I T E D K I N G D O M =========================== ATLANTIC STEEL: Shuts Down Following Administration --------------------------------------------------- Alistair Houghton at Echo reports that a steel firm based in Birkenhead docks has closed with the loss of dozens of jobs after going into administration. Atlantic Steel Processing called in administrators after suffering a fall in sales and after an attempt to sell the company fell through, Echo relates. Most of its 41 staff have now lost their jobs after the businesses closed, Echo discloses. Atlantic Steel Processing was founded in 2001 to supply steel products across the UK and Ireland. It specialised in steel decoiling -- taking rolled steel shipped into Birkenhead and uncoiling it and pressing it into flat sheets so it could be used in industry. Richard Goodall and Martyn Rickels, of specialist business advisory firm FRP Advisory, have been appointed as joint administrators, Echo relays. According to Echo, they said: "The company faced challenging trading conditions primarily due to a reduction in demand which resulted in cash flow difficulties and impacted its ability to operate." They said that after an accelerated sale process did not find anyone to buy Atlantic Steel Processing as a going concern, the company was put into administration "as part of an orderly wind down". Most employees were made redundant soon after administration "with a small number retained temporarily to assist the joint administrators with the wind-down process". The remaining assets of the business are being sold by property agency Sanderson Weatherall, Echo notes. "Unfortunately, mounting external pressures, most notably a reduction in demand and movements in commodity prices, resulted in the business being unable to meet its financial obligations. Regrettably, this meant the necessary closure of the business," Echo quotes Richard Goodall, director at FRP and joint administrator of Atlantic Steel Processing, as saying. "We are now supporting the employees affected to file claims with the Redundancy Payments Services and would encourage any parties with an interest in acquiring the assets to make contact with us as soon as possible." BRIGNOLE CO 2024: DBRS Gives Prov. B(low) Rating on X1 Notes ------------------------------------------------------------ DBRS Ratings GmbH assigned provisional credit ratings to the following classes of notes (collectively, the Rated Notes) to be issued by Brignole CO 2024 S.r.l. (the Issuer): -- Class A Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at BBB (low) (sf) -- Class D Notes at BB (high) (sf) -- Class E Notes at BB (low) (sf) -- Class X1 Notes at B (low) (sf) Morningstar DBRS did not rate the Class F, Class X2 and Class R Notes also expected to be issued in the transaction. The credit rating of the Class A Notes addresses the timely payment of scheduled interest and the ultimate repayment of principal on or before the legal final maturity date. The credit ratings of the Class B, Class C, Class D, and Class E Notes address the ultimate payment of interest but the timely payment of scheduled interest when they become the senior-most tranche and the ultimate repayment of principal on or before the legal final maturity date. The credit rating of the Class X1 Notes addresses the ultimate payment of interest and the ultimate repayment of principal on or before the legal final maturity date. The transaction is backed by a portfolio of fixed-rate unsecured consumer loans without a specific purpose granted by Creditis Servizi Finanziari S.p.A. (Creditis or the originator) to private individuals residing in Italy. Creditis is also the initial servicer. CREDIT RATING RATIONALE The credit ratings are based on the following analytical considerations: -- The transaction's structure, including the form and sufficiency of available credit enhancement to withstand stressed cash flow assumptions and repay the Issuer's financial obligations according to the terms under which the Rated Notes are issued; -- The credit quality and the diversification of the collateral portfolio, its historical performance, and the projected performance under various stress scenarios; -- The operational risk review of Creditis with regard to its originations, underwriting, and servicing; -- The transaction parties' financial strength with regard to their respective roles; -- Morningstar DBRS sovereign credit rating on the Republic of Italy, currently at BBB (high) with a Stable trend; and -- The expected consistency of the transaction's structure with Morningstar DBRS "Legal Criteria for European Structured Finance Transactions" and "Derivative Criteria for European Structured Finance Transactions" methodologies. TRANSACTION STRUCTURE The transaction is static and allocates collections through separate interest and principal priority of payments and benefits from a cash reserve initially funded at closing with the Class X1 Notes' issuance proceeds. The cash reserve will amortize to a target amount equal to 1.2% of the outstanding principal balance of the Class A, Class B, Class C, Class D, Class E and Class F Notes with a floor at 0.6% of initial portfolio principal amount at closing and can be used to cover senior expenses, senior swap costs, interest on the Class A Notes and if not deferred, interest payments on the Class B, Class C, Class D and Class E Notes. After the transaction closing, the Class A, Class B, Class C, Class D, Class E and Class F Notes will be redeemed pro rata in the principal waterfalls based on the relative tranche thickness at closing (i.e., 80.0%, 5.8%, 5.7%, 4.5%, 2.5% and 1.5% for Class A, Class B, Class C, Class D, Class E and Class F Notes, respectively) until a sequential redemption event occurs, after which the non-reversible, fully sequential redemption of the Class A, Class B, Class C, Class D, Class E and Class F Notes will start. On the other hand, the Class X1 Notes will also begin to amortize immediately after the transaction closing in the interest waterfalls according to a fixed scheduled amortization in 20 instalments until full redemption. The redemption of the Class X2 Notes will only commence after the full redemption of the Class X1 Notes in 30 scheduled equal instalments. The interest rate risk for the transaction is considered limited as an interest rate swap is expected to be in place to reduce the mismatch between the fixed-rate collateral and the floating-rate collateralized Notes. TRANSACTION COUNTERPARTIES Crédit Agricole Corporate and Investment Bank (CA-CIB) is the account bank for the transaction. Morningstar DBRS has a private credit rating on CA-CIB, which meets the criteria to act in such capacity. Natixis is the initial swap counterparty for the transaction. Morningstar DBRS private credit rating on Natixis meets the criteria to act in such capacity. The transaction documents contain downgrade provisions consistent with Morningstar DBRS criteria. PORTFOLIO ASSUMPTIONS As the originator has a long operating history of consumer lending in Italy, Morningstar DBRS considers the performance data to be meaningful for detailed vintage analysis. Morningstar DBRS maintained its expected default of 3.3%. Morningstar DBRS also maintained the expected recovery at 30%. Morningstar DBRS' credit ratings on the Rated Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the Rated Notes are the related Interest Payment Amount and the initial Principal Amount Outstanding. Morningstar DBRS' credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in euros unless otherwise noted. CENTRO DELLE: DBRS Confirms BB(high) Rating on Class M Notes ------------------------------------------------------------ DBRS Ratings GmbH confirmed its credit ratings on the notes issued by Centro delle Alpi SME S.r.l. (CdA SME or the Issuer) as follows: -- the Class A1, Class A2, Class A3 and Class A4 Notes (together the Class A Notes) at A (sf); and -- the Class M Notes (together with the Class A Notes, the rated notes) at BB (high) (sf). The credit ratings on the Class A Notes address the timely payment of interest and the ultimate repayment of principal by the legal final maturity date in July 2060, while the credit rating on the Class M Notes addresses the ultimate payment of interest and the ultimate repayment of principal by the legal final maturity date. CREDIT RATING RATIONALE The credit rating confirmations follow an annual review of the transaction and are based on the following analytical considerations: -- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the May 2024 payment date; -- The one-year base case probability of default (PD) and default and recovery rates on the receivables; -- The credit enhancement currently available to the rated notes to cover the expected losses at their respective credit rating levels; and -- No purchase termination events, or breach of concentration limits have occurred to date. CdA SME is a revolving cash flow securitization collateralized by a portfolio of mortgage and unsecured loans to Italian small and medium-size enterprises (SMEs), entrepreneurs, artisans, and producer families. The loans were granted by Banca Popolare di Sondrio S.p.A. (PopSo), that also services the portfolio. The transaction is structured with a 24-month ramp-up period, scheduled to end in June 2025 (included), during which PopSo may sell new receivables to the Issuer subject to certain eligibility criteria and concentration limits. Additionally, the ramp-up period will terminate early if certain performance and non-performance based trigger events occur. During the ramp-up period, the purchase of new receivables will be funded through portfolio collections and/or via further instalment payments under the notes. The subscription of further notes will be subject to the maintenance of minimum subordination levels, as per the transaction documents. To date, the Issuer purchased only one subsequent portfolio. The purchase conditions require that the amount of loans benefitting from the Fondo Centrale di Garanzia (FCG) during the ramp-up period be at least 55.0% of the aggregate unsecured portfolio and that the weighted average guarantee coverage be at least 70.0%. Morningstar DBRS adjusted the recovery rates to account for the benefit of the guarantee. PORTFOLIO PERFORMANCE As of the April 30, 2024 portfolio cut-off date, delinquencies were low, with 90+-day arrears representing 0.4% of the outstanding portfolio balance. The gross cumulative default ratio stood at 0.1% of the initial and subsequent portfolio balance. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS Morningstar DBRS maintained its base case one-year PDs for secured and unsecured loans at 3.4% and 2.1%, respectively. Morningstar DBRS continued to base its analysis on a worst-case portfolio created in line with the purchase conditions and the common and specific criteria applicable during the ramp-up period. Morningstar DBRS updated its lifetime default and recovery assumptions as follows: -- at the A (sf) rating level to 32.8% and 40.2%, respectively; -- at the BB (high) (sf) rating level to 20.4% and 49.6%, respectively. CREDIT ENHANCEMENT Overcollateralization of the outstanding collateral portfolio and the cash reserve provide credit enhancement to the notes. As of the May 2024 payment date, credit enhancement to the Class A and the Class M Notes was 27.5% and 18.3%, respectively, up from 26.8% and 17.6%, respectively, at closing. The transaction is structured in a way such that minimum credit enhancement levels must be maintained during the ramp-up period, if further instalment payments under the notes are made. The transaction benefits from an amortizing cash reserve available that can cover shortfalls in expenses, senior fees, and interest payments on the Class A Notes and, prior to the occurrence of a Class M Notes Interest Subordination Event, on the Class M Notes. The target cash reserve is equal to the greater of 2.0% of the principal outstanding balance of the Class A Notes and 1.44% of the performing outstanding portfolio, with a floor of EUR 5.6 million. As of the May 2024 payment date, the cash reserve was at its target of EUR 39.2 million. BNP Paribas Succursale Italia acts as the account bank for the transaction. Based on Morningstar DBRS' private credit rating on the account bank, the downgrade provisions outlined in the transaction documents, and the structural mitigants inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit rating assigned to the Class A Notes, as described in Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology. Notes: All figures are in Euros unless otherwise noted. CINEWORLD GROUP: Plans to Close Quarter of British Cinemas ---------------------------------------------------------- Mark Kleinman at Sky News reports that Cineworld is drawing up plans to axe dozens of British cinemas as part of a radical restructuring that would also include extensive rent cuts. Sky News has learnt that the company, which until last year was listed on the London Stock Exchange, is considering closing about a quarter of its roughly-100 British multiplexes. Cineworld also wants to renegotiate rent agreements at a further 50 sites, with the remaining 25 untouched by the restructuring, Sky News discloses. Sources said the proposals were expected to be formally outlined to creditors including landlords in the coming weeks, Sky News relates. They added that the insolvency mechanism employed by the cinema operator was expected to be a restructuring plan rather than a company voluntary arrangement (CVA), Sky News notes. According to Sky News, in response to an enquiry, a Cineworld spokesperson said: "We continue to review our options but we don't comment on rumours and speculation." Sky News reported last month that Cineworld was holding initial talks about a sale with prospective buyers, and that it had then switched to a formal restructuring process. The company is being advised by AlixPartners on the process, Sky News states. Other cinema operators are expected to step in to take over some of Cineworld's sites if a sufficient number landlords refuse to agree to the proposed terms, Sky News says. The company trades from more than 100 sites in Britain, including at the Picturehouse chain, and employs thousands of people, although its public relations adviser has refused to confirm either figure. Cineworld grew under the leadership of the Greidinger family into a global giant of the industry, acquiring chains including Regal in the US in 2018 and the British company of the same name four years earlier. Its multibillion dollar debt mountain led it into crisis, though, and forced the company into Chapter 11 bankruptcy protection in 2022, Sky News recounts. It delisted from the London Stock Exchange last August, having seen its share price collapse amid fears for its survival, Sky News relays. Under the deal struck last year, several billion dollars of debt were exchanged for shares, with a significant sum of new money injected into the company by a group of hedge funds and other investors, according to Sky News. Cineworld also operates in central and Eastern Europe, Israel and the US. About Cineworld Group London-based Cineworld Group PLC was founded in 1995 and is the world's second-largest cinema chain. Cineworld operates 751 sites with 9,000 screens in 10 countries, including the Cineworld and Picturehouse screens in the UK and Ireland, Yes Planet in Israel, and Regal Cinemas in the United States. According to The Guardian, the Griedinger family, including Mooky's brother and deputy chief executive, Israel, have struggled to maintain control of the ailing business but have been forced to reduce their stake from 28% in recent years. Cineworld's top five investors include the Chinese Jangho Group at 13.8%, Polaris Capital Management (7.82%), Aberdeen Standard Investments (4.98%) and Aviva Investors (4.88%). The London-listed Cineworld, which has run up debt of more than $4.8 billion after losses soared during the pandemic, is pinning its hopes on a meatier slate of movies in 2022 to bounce back from a two-year lull. Cineworld Group plc and 104 affiliates sought Chapter 11 protection (Bankr. S.D. Texas Lead Case No. 22-90168) on Sept. 7, 2022, estimating more than $1 billion in assets and debt. Judge Marvin Isgur oversees the cases. The Debtors tapped Kirkland & Ellis, LLP and Jackson Walker, LLP as bankruptcy counsels; PJT Partners, LP as investment banker; AlixPartners, LLP as restructuring advisor; and Ernst & Young, LLP as tax services provider. Kroll Restructuring Administration, LLC is the claims agent. The U.S. Trustee for Region 7 appointed an official committee of unsecured creditors in the Debtors' Chapter 11 cases on Sept. 23, 2022. The committee tapped Weil, Gotshal & Manges, LLP and Pachulski Stang Ziehl & Jones, LLP as legal counsels; FTI Consulting, Inc., as financial advisor; and Perella Weinberg Partners, LP, as investment banker. ECARAT DE SA 2024-1: DBRS Gives Prov. B(low) Rating on F Notes -------------------------------------------------------------- DBRS Ratings GmbH assigned provisional credit ratings to the following notes (the Rated Notes) to be issued by ECARAT DE S.A. acting on behalf and for the account of its Compartment 2024-1 (the Issuer): -- Class A Notes at AAA (sf) -- Class B Notes at AA (high) (sf) -- Class C Notes at A (high) (sf) -- Class D Notes at A (low) (sf) -- Class E Notes at BBB (low) (sf) -- Class F Notes at B (low) (sf) Morningstar DBRS did not assign a provisional credit rating to the Class G Notes (collectively with the Rated Notes, the Notes) also expected to be issued in this transaction. The provisional credit ratings on the Class A and Class B Notes address the timely payment of scheduled interest and the ultimate repayment of principal by the final maturity date. The provisional credit ratings on the Class C, Class D, Class E, and Class F Notes address the ultimate (but timely when most senior) payment of interest and the ultimate repayment of principal by the final maturity date. CREDIT RATING RATIONALE The Issuer is incorporated under the laws of Luxembourg as a société anonyme, and is governed by Luxembourg securitization law, acting as a special-purpose entity specifically for the purpose of this transaction. The transaction represents the issuance of Notes backed by a pool of receivables related to amortizing and balloon loans granted by Stellantis Bank S.A., German Branch (Stellantis Bank or the Originator) to private individual and commercial borrowers resident or incorporated in the Federal Republic of Germany. The underlying receivables relate to the financing of new and used vehicles. Stellantis Bank will also act as the Servicer for the transaction. Morningstar DBRS' provisional credit ratings are based on the following analytical considerations: -- The transaction's structure, including the form and sufficiency of available credit enhancement to withstand stressed cash flow assumptions and repay the Issuer's financial obligations according to the terms under which the Rated Notes are expected to be issued. -- The credit quality of Stellantis Bank's portfolio, the characteristics of the collateral, its historical performance, and Morningstar DBRS projected behavior under various stress scenarios. -- Stellantis Bank's capabilities with respect to originations, underwriting, servicing, and its position in the market and financial strength. -- The operational risk review of Stellantis Bank, which Morningstar DBRS deems to be an acceptable servicer. -- The transaction parties' financial strength with regard to their respective roles. -- The expected consistency of the transaction's legal structure with Morningstar DBRS' "Legal Criteria for European Structured Finance Transactions" methodology. -- The expected consistency of the transaction's hedging structure with Morningstar DBRS' "Derivative Criteria for European Structured Finance Transactions" methodology. -- The sovereign credit rating on the Federal Republic of Germany, currently rated at AAA with a Stable trend by Morningstar DBRS. TRANSACTION STRUCTURE The transaction includes a scheduled revolving period of 12 months, during which the Issuer may purchase additional receivables provided that the eligibility criteria and concentration limits set out in the transaction documents are satisfied. During the revolving period, the Issuer applies the available funds in accordance with two separate principal and interest priorities of payments. Prior to a sequential redemption event, principal is allocated to the Notes on a pro rata basis. Following a sequential redemption event, principal is allocated on a sequential basis. Once the amortization becomes sequential, it cannot switch to pro rata. Sequential redemption events include, among others, the breach of performance related triggers, the Seller not exercising the call option, or a shortage of the liquidity reserve required amount. The transaction benefits from an amortizing liquidity reserve funded at closing to an amount equal to 1.3% of the Class A Notes, Class B Notes, Class C Notes, and Class D Notes' outstanding balance and floored at 0.5% of the aforementioned notes' initial balance as at the closing date. The reserve is only available to the Issuer in restricted scenarios where the interest and principal collections are not sufficient to cover the shortfalls in senior expenses, swap payments, and interest on the Class A Notes and, if not deferred, interest on the Class B Notes, the Class C Notes and the Class D Notes. Principal available funds may be used to cover senior expenses, swap payments, and interest shortfalls on the Rated Notes in certain scenarios that would be recorded in the transaction's PDL in addition to the defaulted receivables. The transaction includes a mechanism to capture excess available revenue amount to cure PDL debits and also interest deferral triggers on the subordinated classes of Rated Notes, conditional on the PDL debit amounts and seniority of the Rated Notes. COUNTERPARTIES HSBC Continental Europe (HSBC) is expected to be appointed as the account bank for the transaction. Morningstar DBRS privately rates HSBC and concluded that the bank meets the criteria to act in this capacity. The Issuer's accounts include the distribution account, the reserve account, and the swap collateral account. The transaction documents are expected to contain downgrade provisions relating to the account bank consistent with Morningstar DBRS' criteria. BNP Paribas S.A. (BNPP) is expected to be appointed as the swap counterparty for the transaction. Morningstar DBRS has a Long-Term Senior Debt rating of AA (low) and a Long Term Critical Obligations Rating of AA (high) on BNPP, which meets its criteria to act in such capacity. The hedging documents are expected to contain downgrade provisions relating to the swap counterparty consistent with Morningstar DBRS' criteria. Notes: All figures are in euros unless otherwise noted. EDENBROOK MORTGAGE: Fitch Assigns BB+(EXP)sf Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned Edenbrook Mortgage Funding PLC expected ratings. The assignment of final ratings is contingent on the receipt of final documents conforming to information already received. Entity/Debt Rating ----------- ------ Edenbrook Mortgage Funding PLC Class A Loan Note LT AAA(EXP)sf Expected Rating Class A XS2843264156 LT AAA(EXP)sf Expected Rating Class B XS2843264313 LT AA-(EXP)sf Expected Rating Class C XS2843264586 LT A-(EXP)sf Expected Rating Class D XS2843264743 LT BBB-(EXP)sf Expected Rating Class E XS2843265047 LT BB+(EXP)sf Expected Rating Class X XS2843265120 LT NR(EXP)sf Expected Rating Class Z XS2843267175 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Edenbrook Mortgage Funding PLC will be a securitisation of buy-to-let (BTL) mortgages originated between 2021 and 2024 in England and Wales. The loans were originated by CHL Mortgages for Intermediaries Limited (CMI), under the CHL Mortgages brand. CMI was purchased by Chetwood Financial Limited on 20 May 2024. KEY RATING DRIVERS Recent BTL Originations: The portfolio is lowly seasoned (21 months) with over 90% of the loans originated since 2022. The pool has a weighted average (WA) original loan-to-value (OLTV) of 72.5%, a WA current LTV (CLTV) of 72.3% leading to a WA sustainable LTV of 86.2%. The Fitch-calculated WA interest coverage ratio (ICR) is 71.9%. The pool predominantly comprises five-year fixed- rate interest- only (IO) loans. The WA OLTV and WA CLTV ratios are in line with Fitch-rated UK BTL transactions'. Robust Lending Policy: CMI originates exclusively within the BTL sector, applying a manual approach to underwriting. BTL lending in the UK market is largely standardised, driven by Prudential Regulation Authority (PRA) rules, and CMI's lending policy reflects this, in line with peers in the BTL sector. CMI does not differentiate its product range by adverse credit tiering and does not consider borrowers who meet the Financial Conduct Authority's (FCA) definition of impaired credit. Fitch has assigned an originator adjustment of 1.0x to its foreclosure frequency assumptions, which reflects its observations on CMI's lending policy in comparison with peers' and the experienced underwriting team at CMI. Specialist Product Exposure: CMI's product offering differentiates by property type, which are classified as either 'standard' (single properties) or 'houses of multiple occupation' (HMOs) and 'multi-unit blocks' (MUFBs). CMI's lending criteria require borrowers to have at least a year's experience for standard properties while HMO/MUFB landlords should have at least two years' demonstratable experience managing a BTL property. Fitch views this positively, considering the level of expertise required to manage HMOs/MUFBs. HMOs account for 10.5% of the pool by current balance (CBAL) while MUFBs make up 9.2% of the pool. The exposure to HMOs/MUFBs is in line with that of other Fitch-rated UK BTL transactions by specialist lenders. Potential Over-Hedging Cost: A swap will be in place with a fixed notional schedule to hedge the interest rate risk in the transaction. The swap schedule has been calculated assuming 0% prepayments and no defaults on the fixed-rate loans. The transaction could be become over-hedged depending on the actual CPR and level of defaults. An over-hedged position can be negative for the transaction in decreasing interest rate scenarios. Fitch has taken the fixed swap notional schedule into account in its cash flow modelling and tested the transaction in rising, stable and declining interest rate scenarios. Fixed Loans Reversions Affect CPR: The majority of the fixed-rate loans had a tenor of five years at origination, with only a limited amount of loans reverting in the first year of the transaction. Fitch therefore expects prepayments (CPR) to remain low until 2027. In combination with the current high interest-rate environment, this limits excess spread compression and the risk of over-hedging arising from high CPR in the early years of the transaction. Fitch considered a sensitivity with an alternative evolution of high CPR in the first year of the transaction against criteria assumptions. In the rating determination Fitch decided to assign ratings one notch above the model-implied ratings (MIR) for the class A, B and C notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The transaction's performance may be affected by adverse changes in market conditions and the economic environment. Weakening economic performance is strongly correlated to increasing levels of delinquencies and defaults that could reduce credit enhancement available to the notes. In addition, unanticipated declines in recoveries could result in 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 to weighted average foreclosure frequencies (WAFF) and a 15% decrease to weighted average recovery rate (WARR) would lead to downgrades of up to two notches. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing credit enhancement and, potentially, upgrades. Fitch found that a decrease in WAFF of 15% and an increase in WARR of 15% would lead to upgrades of up to two notches, except for the 'AAAsf' rated notes. CRITERIA VARIATION In Fitch's asset modelling, a bank base rate (BBR) input of 4% was applied rather than the criteria- defined rate (BBR as at the pool-cut-off date) of 5.25% at August 2023. This ensured the interest rate applied when calculating borrower ICRs was equal to CMI's current reversion rate of 9.75% rather than a lower rate that would have resulted from the criteria-defined calculation. This adjustment led to lower MIRs for the class B to E notes by one notch than ratings under the standard application of the UK RMBS Rating Criteria. 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 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. Fitch conducted two reviews 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. ENERGEAN PLC: Fitch Affirms 'BB-' LongTerm IDR, Outlook Stable -------------------------------------------------------------- Fitch Ratings has affirmed Energean Plc's Long-Term Issuer Default Rating (IDR) at 'BB-' with Stable Outlook. Fitch has also affirmed the senior secured rating at 'BB'. The Recovery Rating is 'RR3'. This follows the company's announced divestiture of assets in Italy, Egypt, and Croatia to Carlyle. The disposal represents a modest reduction in the scale of reserves and production, and deepens the company's reliance on Israeli assets. However, this is sufficiently offset by expected debt prepayment from the sale proceeds alongside an accelerating deleveraging trend and robust liquidity, which further insulate the company's assets against physical risk in Israel. Energean's IDR reflects its growing gas-weighted production in Israel, backed by long-term take-or-pay contracts with fixed floor pricing supporting cash flow visibility. The rating further encapsulates limited geographic diversification and an evolving dividend policy, but also declining EBITDA net leverage to around 2x and a strong liquidity position. Fitch conservatively assumes three months of production outages from Israeli assets in 2025, returning to run-rate levels thereafter and assuming no insurance proceeds. This yields a credit profile that is still in line with the current rating and Outlook. Fitch would treat any longer-term disruption to Energean's production in Israel as an event risk. KEY RATING DRIVERS Ongoing Stress to Operating Environment: The military conflict between Israel and Hamas continues to pose heightened risk for Energean's operations in Israel. Although there have not been any disruptions to operations on the Karish field thus far, the geopolitical situation remains uncertain. While not its base case, a large-scale and prolonged disruption to the Karish field would affect Energean's rating despite the company's ability to absorb a three-month outage with committed liquidity sources. Divestiture Transaction Credit-Neutral: The pending sale of assets in Egypt, Italy, and Croatia will reduce Energean's production and 2P reserves by around 40kboe/d and 150mmboe, respectively, while also concentrating over 90% of its production on Israel. This is offset by cash sale proceeds, which Fitch assumes to amount to USD681 million, to be used to prepay USD450 million of debt and by cash inflows from a USD139 million vendor loan contributing to continued deleveraging to around 1.9x by end-2025. Fitch conservatively does not assume any near-term proceeds from contingent payments related to assets in Italy or Egypt. Evolving Dividend Policy: Energean plans to revise its dividend policy and pay up to USD200 million of special dividends on disposal completion. While details of the new dividend plan are not clear, Fitch conservatively assumes higher payouts in 2025 and thereafter, versus the USD50 million quarterly amount previously targeted. Fitch believes the company should be able to comfortably cover the higher payouts with its high pre-dividend free cash flow (FCF). Clear Path to Deleveraging: Fitch expects Energean's Fitch-defined EBITDA net leverage to decline in 2024 to around 1.5x under Fitch's base-case commodity price assumptions and assuming contracted gas volumes in Israel are monetised at contractual floor prices. Fitch expects run-rate leverage to average around 2x under its conservative base case. Consolidated Profile: Energean's holding company notes are structurally subordinated to debt located at operating companies, which mainly consist of USD2.6 billion of project finance debt at its 100% opco Energean Israel Limited (EISL) secured by Israeli assets. However, Fitch analyses Energean on a consolidated basis, due to cross-default provisions in its notes' documentation. Senior Secured Rating: Fitch rates the senior secured notes using a generic approach for 'BB' category issuers, which reflects the relative instrument ranking in the capital structure. Given a large share of debt ranking more senior to the notes, the Recovery Rating for the notes is 'RR3' to reflect lower recovery prospects relative to other senior notes. This results in the senior secured rating being notched up by only one level from the IDR. Israel-Focused Gas Producer: Over 70% of Energean's production comes from Israel, which will increase to over 90% once the divestiture closes, which Fitch assumes will occur by end-2024. Following the transaction, non-Israeli assets will be located in Greece, the UK, and Morocco, and will contribute a very small portion of the company's cash flow. While the company's gas-focused production mix is supportive of strong long-term demand due to undersupply in the region, its credit profile is highly dependent on cash flows from Israel. Low Re-Contracting Risk: Fitch expects Energean will be able to replace any customers in the event of a contract termination or other unforeseen event given its record of successful re-contracting alongside high domestic demand in Israel, access to international markets, and favourable economics of the Israeli assets. Fitch views the successful ramp-up of Israeli assets' production as substantially mitigating contract termination risk. Improving Cost of Production: Energean's cost structure sharply improved to around USD11/boe in 2023 from USD19/boe in 2022 and Fitch expects it to decline further post-divestiture to around USD9.5/boe. This is driven by a higher contribution from Israeli assets, which have substantially lower unit costs than the legacy assets being divested. Future Acquisitions Likely: Energean has publicly stated its intention of pursuing further growth through acquisitions once the current divestment is finalised. Though the size, terms, and geographic location of future acquisition targets is not yet known, the execution risk posed by an acquisition-driven growth strategy is offset by the company's strong record of integrating acquired assets, its strong financial headroom and stable cash flows from Israel. DERIVATION SUMMARY S.N.G.N. Romgaz S.A (BBB-/Stable) is Energean's closest peer, although Romgaz has a more diversified profile with its gas storage and electricity generation, as opposed to Energean's focus on upstream operations. Despite Energean being larger in scale, with production expected to increase to approximately 150,000boed by 2025, it has lower realised prices in the Israeli gas market, compared with Romgaz's European gas price environment. However, Energean has more favourable cost of production before royalties and is subject to a more advantageous tax regime, although this is counterbalanced by security risk in light of the ongoing war between Israel and Hamas. Fitch rates Energean one notch lower than Harbour Energy PLC (BB/RWP) but post-acquisition of Wintershall, Harbour's scale will be comparable to that of other investment-grade independent exploration and production peers. Harbour's future business profile will be more geographically diversified than that of Energean (focused in Israel). However, Harbour's pro-forma reserve life will be weaker (2P reserve life of eight years, compared with Energean's over 20 years), in view of Harbour's depleted reserves in the United Kingdom Continental Shelf (UKCS). Fitch rates Energean one notch above Kosmos Energy Ltd. (B+/Stable) due to the latter's higher projected production (peaking at 150,000boed in 2026). Energean's longer reserve life and its large share of contracted sales under long-term take-or-pay agreements provide more visibility to its cash flows. KEY ASSUMPTIONS Key Assumptions Within Its Rating Case for the Issuer: - Oil and gas prices to 2027 in line with its base case price deck - The divestment of Egyptian, Italian and Croatian assets to be completed at end-2024 - Consolidated production volumes of 154kboe/d in 2024, 111kboe/d in 2025 in the event of operational disruption resulting in three months of lost production in Israel, and peaking at around 150kboe/d by 2027 - Capex averaging around USD397 million a year for 2024-2028 - Israeli gas sold at contractual floor price of USD4.36/mmbtu in 2024, followed by USD4.42/mmbtu through 2027 - Dividend payments of USD400 million in 2024, followed by USD200 million-USD250 million in 2025-2028 RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade: - De-escalation of geopolitical risk will be a pre-requisite for positive rating action - EBITDA net leverage below 1.0x on a sustained basis - Continued prudent financial management at EISL, ensuring sound distributable cash flow generation - Increasing 1P reserve levels Factors That Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade: - Significant escalation of the conflict that will lead to material reduction in production due to closure of Israeli fields and/or damage to EISL's operations on a protracted basis - EBITDA net leverage above 2.0x on a sustained basis - Significant gas sales contract terminations at EISL - Negative post-dividend FCF on a sustained basis, due to capex overruns, production delays or high dividend payments LIQUIDITY AND DEBT STRUCTURE Comfortable Liquidity: Energean does not have any immediate external funding needs and liquidity is strong, with no material maturities until 2026. At end-2023 Energean's liquidity was USD607 million, including cash and cash equivalents (USD370 million) and an unused revolving credit facility (RCF) of USD236 million. ISSUER PROFILE Energean is an international independent gas-focused oil & gas company focused on the exploration, development and production of gas and oil assets in the Mediterranean. It is listed on the London Stock Exchange as well as the Tel Aviv Stock Exchange. MACROECONOMIC ASSUMPTIONS AND SECTOR FORECASTS Fitch's latest quarterly Global Corporates Macro and Sector Forecasts data file which aggregates key data points used in its credit analysis. Fitch's macroeconomic forecasts, commodity price assumptions, default rate forecasts, sector key performance indicators and sector-level forecasts are among the data items included. 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 ----------- ------ -------- ----- Energean plc LT IDR BB- Affirmed BB- senior secured LT BB Affirmed RR3 BB ENERGEAN PLC: S&P Affirms 'B+' ICR & Alters Outlook to Developing ----------------------------------------------------------------- S&P Global Ratings affirmed its long-term issuer credit rating on Energean PLC and its issuer rating on its $450 million senior secured notes at 'B+'. S&P revised to developing from negative the outlook on its long-term issuer credit rating on Energean. The developing outlook reflects that S&P could lower or raise the ratings in the next 12 months, depending on the expected reduction in cash flow volatility and the successful ramp-up of production in Israel, as well as the evolution of local security and geopolitical risks. On June 20, 2024, Energean announced that it will sell its assets in Egypt, Italy, and Croatia to Carlyle for $820 million-$945 million. The transaction is expected to complete by year-end 2024. Energean expects to use the disposal proceeds to repay its $450 million senior secured notes and pay a $200 million special dividend. The transaction will reduce decommissioning liabilities by about $500 million. The bulk of the group's production will be based in Israel, which benefits from long-term contracts with very predictable cash flows. The outlook revision primarily stems from the recent and expected improvement in credit metrics, following the ramp-up of production in Israel. It also reflects the anticipated reduction in Energean's cash flow volatility from the announced transaction. In 2023, the group's production increased from 41.2 thousand barrels of oil equivalent per day (kboepd) to 123.4 kboepd. S&P said, "S&P Global Ratings-adjusted funds from operations (FFO) to debt declined to 13.6% in 2023 from 4.7% in 2022, while our adjusted debt to EBITDA declined to 4.6x in 2023 from 9.9x in 2022. We expect a further improvement in Energean's credit metrics in 2024 as production in Israel continues to ramp-up. If the announced transaction completes, we estimate adjusted FFO to debt at just below 30% in 2024 and 2025. We view these credit metrics as strong for the current rating category given the group's lower exposure to price risk." S&P said, "The outlook also continues to reflect the risks related to the conflict in Israel. So far, the conflict has not directly affected Energean's assets. The group's operations are in the northern part of Israel, away from the affected areas in the south, but close to Lebanon. We continue to monitor the risk of a shutdown, damage, or any other limitations on operations and expansion works, as well as repercussions for sales and cash generation. If the geopolitical situation in the region were to escalate, we would focus on assessing the physical integrity of Energean's assets, continuity of its operations, and the stability and timeliness of revenue. "The developing outlook reflects that we could lower or raise the ratings on Energean in the next 12 months, depending on the expected reduction in cash flow volatility and the successful ramp-up of production in Israel and the evolution of the local security and geopolitical risks." Downside scenario S&P could lower the rating on Energean if it anticipated or saw a further deterioration in the security and geopolitical risks in Israel. Upside scenario S&P could raise the rating on Energean if: -- The announced transaction completes and S&P continues to believe that this reduces the group's cash flow volatility; and -- Production in Israel continues to ramp-up as planned. EUROSAIL-UK 07-3: Fitch Affirms CCC Rating on Class E1c Debt ------------------------------------------------------------ Fitch Ratings has affirmed Eurosail-UK 07-3 BL Plc (ES07-3) and Eurosail-UK 07-4 BL Plc (ES07-4). Entity/Debt Rating Prior ----------- ------ ----- Eurosail-UK 07-3 BL Plc Class A3a 29880YAG4 LT AAAsf Affirmed AAAsf Class A3c 29880YAJ8 LT AAAsf Affirmed AAAsf Class B1a 29880YAK5 LT AAAsf Affirmed AAAsf Class B1c 29880YAM1 LT AAAsf Affirmed AAAsf Class C1a 29880YAN9 LT A-sf Affirmed A-sf Class C1c 29880YAQ2 LT A-sf Affirmed A-sf Class D1a 29880YAR0 LT B+sf Affirmed B+sf Class E1c XS0308725844 LT CCCsf Affirmed CCCsf Eurosail-UK 07-4 BL Plc Class A3 XS1150797600 LT AAAsf Affirmed AAAsf Class A4 XS1150799481 LT AAAsf Affirmed AAAsf Class A5 XS1150799721 LT AAAsf Affirmed AAAsf Class B1a 29881BAK4 LT AAsf Affirmed AAsf Class C1a 29881BAN8 LT BB+sf Affirmed BB+sf Class D1a 29881BAR9 LT CCCsf Affirmed CCCsf Class E1c XS0311717416 LT CCsf Affirmed CCsf TRANSACTION SUMMARY The transactions comprise UK non-conforming mortgage loans originated by Southern Pacific Mortgage Limited, Preferred Mortgages Limited (both formerly wholly-owned subsidiaries of Lehman Brothers), London Mortgage Company and Alliance and Leicester Plc. KEY RATING DRIVERS Increasing CE: ES07-3's sequential amortisation has resulted in continued build-up of credit enhancement (CE) for all of its notes. ES 07-4 has also started to amortise sequentially due to the breach of an arrears trigger. Despite the deteriorating asset performance of the pool, the continued material increase in CE supports the affirmation of all notes in the structure at this annual review. ES07-4 envisages pro rata amortisation subject to sequential switch back triggers. The arrears trigger breach is reversible and amortisation could return to sequential if 90+days delinquencies (currently 25.9%) return below the 22.5% trigger level. Ratings Above MIR (Criteria Variation): Fitch has affirmed ES07-4's class C1a notes at 'BB+sf', despite their model-implied rating (MIR) being lower than 'B-sf', similar to Fitch's last review. A revision of the cumulative repossessions trigger, as outlined at its last review, has been detrimental to some of the notes' MIR. This is a variation to Fitch's UK RMBS criteria as the MIR is more than three notches below the current notes rating. Fitch has applied this criteria variation as observed shortfalls at their current rating are very limited and there is uncertainty around the evolution of senior fixed fees. In addition, cash flow scenarios where the class C1a notes are not able to maintain payments at their current rating level do not represent Fitch's immediate expectations, so a convergence of the MIR to the notes' rating can be expected. Model Variation: ES07-4's class B1a notes been affirmed at 'AAsf', two notches above their MIR for the same reasons detailed above. This does not represent a variation to Fitch's criteria given the lesser difference between the MIR and current rating. The recent switch to sequential amortisation following the breach of another trigger could further support the notes' MIR if sequential amortisation continues. Senior Fees Remain High: Fitch notes both transactions continue to incur high senior fee expenses. Should this continue, Fitch may adjust its senior fee assumptions. The ratings are sensitive to these assumptions and increased levels will affect excess spread availability (already resulting in a small draw on ES07-3's reserve fund). Any increase to the senior fee assumptions could have a negative rating impact and result in downgrades of the mezzanine and junior notes. This drives the Negative Outlooks on ES07-4's class B1a and C1a notes, and ES07-3's class D1a notes. Arrears Increase: The ratings of ES07-3's class C1a, C1c, and D1a notes are up to two notches below their MIRs. This reflects Fitch's view that a further increase in arrears could result in lower MIRs than the current ratings in future analyses. As at end-March 2024, total arrears for ES07-3 and ES07-4 were 28.4% and 27.9%, respectively, 5.4pp and 3.5pp higher than at the last rating action in August 2023. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The transactions' performance may be affected by adverse changes in market conditions and economic environment. Weakening economic performance is strongly correlated to increasing levels of delinquencies and defaults and could reduce CE available to the notes. Fitch conducted sensitivity analyses by stressing each transaction's base case FF and recovery rate (RR) assumptions, and examining the rating implications on all classes of issued notes. A 15% increase in WAFF anda 15% decrease in WARR could lead to downgrades of up to three notches for the mezzanine and junior tranches across both transactions. Elevated levels of senior fixed fees could also lead to downgrades for classes D1a of ES07-3 and B1a and C1a of ES07-4 should they not return to baseline levels in the medium term. 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 WAFF of 15% and an increasein the WARR of 15%. The results indicate upgrades of up to six notches for the mezzanine and junior tranches across the two transactions. CRITERIA VARIATION The criteria variation applied to ES07-4 relates to the rating determination applied by Fitch and the ratings of the C1a notes being affirmed at this review. The rating of the class C1a notes is five notches above the current MIR. The lower MIR is being driven by small interest shortfalls in decreasing interest-rate scenarios, which Fitch views as unlikely in the short-to-medium term. The affirmation of the C1a notes reflects the limited observed shortfalls at the current rating. It also reflects Fitch's expectation that the MIR should converge towards the current rating at future reviews should senior fees stabilise or amortisation of the transaction switch to sequential following a trigger breach. 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 Eurosail-UK 07-3 BL Plc, Eurosail-UK 07-4 BL Plc Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool[s] and the transaction[s]. 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[s] ahead of the transaction's [Eurosail-UK 07-3 BL Plc, Eurosail-UK 07-4 BL Plc] initial closing. The subsequent performance of the transaction[s] over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS ES07-3 and ES07-4 have an ESG Relevance Score of '4' for Customer Welfare - Fair Messaging, Privacy & Data Security due to the pools exhibiting an interest only maturity concentration of legacy non-conforming owner-occupied loans of greater than 20% which has a negative impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. ES07-3 and ES07-4 have an ESG Relevance Score of '4' for Human Rights, Community Relations, Access & Affordability due to a significant portion of the pools containing owner-occupied loans advanced with limited affordability checks, which has a negative impact on the credit profile, and is relevant to the rating[s] 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. HEAT EXCHANGE: Goes Into Administration --------------------------------------- Business Sale reports that administrators have been appointed at a heat exchange and boiler specialist after the majority of the company was acquired as a going concern. Substantially the whole of Heat Exchange Group Services Limited's business and assets were acquired by a third party on June 27, Business Sale relates. The company had around 35 employees, with the majority of jobs preserved in the sale of the business and assets to HEGS PHE Limited. Following the sale, Tyrone Courtman and Deviesh Raikundalia of RSM UK Restructuring Advisory LLP were appointed as joint administrators of Heat Exchange Group Services on July 2, Business Sale notes. The company was part of the Heat Exchange Group, a UK and international supplier of heat exchanger and industrial/marine boiler products and services located in Wakefield and Prudhoe, Northumberland. According to Business Sale, joint administrator and RSM UK partner Tyrone Courtman said that Heat Exchange Group Services had recently faced "trading challenges due to difficulties associated with one of its major contracts". Mr. Courtman continued that, despite Heat Exchange Group management seeking to divest their interest in the business "as part of a wider group rationalisation", the contract frustrated the sale process. He added: "After several attempts to resolve this contract, it became clear that HEGS PHE Ltd would consider involvement only through acquisition of substantially the whole of the company's business and assets as a going concern." "Following the sale, given the company's underlying precarious financial position, management had little alternative but to instigate a formal insolvency procedure and appoint joint administrators, and we will be looking to realise the company's remaining assets if feasible." In its most recent accounts, for the year ending June 30, 2023, the company's fixed assets were valued at GBP230,703 and current assets at GBP2.1 million, with net assets amounting to GBP509,207, Business Sale discloses. HOME DELIVERY: Goes Into Administration After Failed Sale --------------------------------------------------------- Sam Metcalf at TheBusinessDesk.com reports a Chesterfield haulier has entered administration after attempts to sell the firm fell through. Home Delivery Solutions, based in Commerce Park, Duckmanton, ceased trading on Friday, July 5, with joint administrators Mark Malone and Gareth Prince from Begbies Traynor's Birmingham office appointed on the same day, TheBusinessDesk.com relates. TheBusinessDesk.com understands around 90 jobs have been lost at the firm. Begbies Traynor says the company had sought advice on how to improve issues regarding its cash flow and growing legacy debts, TheBusinessDesk.com recounts. It was decided that an accelerated sale offered the best opportunity to save the business, which provided two-man delivery services across the UK, TheBusinessDesk.com notes. To allow time for the sale process, Home Delivery Solutions filed a number of notices of intention (NOI) to appoint administrators, TheBusinessDesk.com relays. A period of marketing attracted offers from multiple parties and a preferred bidder, which TheBusinessDesk.com understands was Vibrant Doors Holdings, was identified. Discussions with key customers regarding the provision of future services formed part of the due diligence process, TheBusinessDesk.com discloses. However, says Begbies Traynor as a result of "growing uncertainties" over the company's ability to provide its services, some of its biggest customers sought alternative suppliers, leading to the withdrawal of the preferred bidder's interest. Other bidders who had shown interest in Home Delivery Solutions were contacted, but Begbies Traynor says it became clear that the only viable course of action was the managed wind down of the company's operations, TheBusinessDesk.com notes. According to TheBusinessDesk.com, Mark Malone and Gareth Prince of Begbies Traynor say they will now secure and realise Home Delivery Solutions Limited's remaining assets and deal with employee claims. I-LOGIC TECHNOLOGIES: Moody's Affirms 'B2' CFR, Outlook Stable -------------------------------------------------------------- Moody's Ratings affirmed I-Logic Technologies Bidco Limited's (I-Logic d/b/a "ION Analytics") B2 Corporate Family Rating and the B2-PD Probability of Default Rating. Concurrently, Moody's also affirmed the company's B2 rating on the existing senior secured notes due 2028 and B2 senior secured bank credit facilities ratings, which consists of a revolver and two term loans denominated in USD and Euro tranches. The outlook is maintained at stable. RATINGS RATIONALE I-Logic's B2 CFR reflects its high leverage with debt-to-EBITDA of 6.7x for the 12-month period ended March 31, 2024 and small scale relative to its global peers, but also a well-established market position, a core of subscription-based revenue, and strong profitability. The rating recognizes the benefits to creditors from the company's largely subscription-based model and its established position with a high degree of market penetration, particularly as a provider of content and analytics for primary capital markets globally. The rating also reflects the risks from the company's concentrated ownership, that has resulted in an aggressive financial policy with a history of debt-funded acquisitions and shareholder distributions, weighing on the credit profile. Moody's expect that ION Analytics will maintain a good liquidity profile supported by a cash balance of $36 million as of March 31, 2024 and Moody's expectation of FCF-to-debt (before dividends) approaching 5% over the next 12 to 18 months, as well as access to an undrawn $20 million revolver expiring February 2026. ION Analytics' low capital expenditure requirements, annual interest expense and term loan amortization are expected to be covered by internally generated cash flow. Moody's view the $20 million revolver as small in size when considering ION Analytics' scale. While the term loans are not subject to financial covenants, the revolver contains a springing maximum first lien net leverage ratio of 9x (with no step downs) when utilization exceeds $10 million. Due to ION Analytics consistently positive cash flow and higher liquidity at the parent entity, ION Group, the company has not historically relied on the revolver. Although Moody's do not expect the covenant to spring over the next 12 months, the company is likely to maintain an ample covenant cushion if it were triggered. The stable outlook reflects Moody's expectation that financial leverage will gradually decline over the next 12 months driven by mid-single digit top-line growth absent any debt funded distributions. The stable outlook is also supported by ION Analytics' highly recurring base of subscription revenue and strong pre-dividend free cash flow generation. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The ratings could be upgraded if the company reduces debt-to-EBITDA leverage to under 5x and commits to financial policies supportive of operating at such leverage levels. An improvement in the company's liquidity position and FCF-to-debt of over 10%, would also support a ratings upgrade. The ratings could be downgraded if I-Logic's competitive position or liquidity profile weaken, such that Moody's expect revenue contraction and FCF-to-debt to remain below 5%. A ratings downgrade could also result from the company maintaining aggressive financial policies, such as additional shareholder distributions, that causes debt-to-EBITDA leverage to remain above 6.5x. I-Logic Technologies Bidco Limited, with dual headquarters in New York and London, provides data, content and software to global capital markets participants. The company is privately owned by ION Investment Group. The company generated roughly $540 million of revenue during the last twelve months ended March 31, 2024. The principal methodology used in these ratings was Business and Consumer Services published in November 2021. ILKE HOMES: Morro Partnerships to Take Over Rolleston Project ------------------------------------------------------------- Ellie Hollinshead at TheBusinessDesk.com reports that Jigsaw Homes Midlands has appointed Morro Partnerships to finish developing 131 affordable homes at Rolleston Drive in Arnold. Following a procurement process, Midlands-based Morro Partnerships will start work in July, TheBusinessDesk.com discloses. According to TheBusinessDesk.com, the firm will complete homes originally built off-site by Ilke Homes before it went into administration and build the four remaining homes on-site. The Homes England-backed project, Birch Fields, will offer 45 two-bedroom, 73 three-bedroom, and 13 four-bedroom homes for shared ownership or affordable rent, TheBusinessDesk.com states. INFINITY MEDIA: Collapses Into Administration --------------------------------------------- Business Sale reports that Infinity Media Promotions Limited, a leisure, travel and tourism company based in London, fell into administration in June, with Guy Hollander and Adam Harris of Forvis Mazars appointed as joint administrators. According to Business Sale, in the company's accounts for the year to March 31, 2023, its assets were valued at slightly over GBP7 million. However, at the time, it owed creditors around GBP6.9 million, with net assets amounting to GBP189,242, Business Sale discloses. INTELLIGENT PROTECTION: Bought Out of Administration ---------------------------------------------------- Business Sale reports that a facilities management and stadium security provider based in South Yorkshire has been acquired out of administration in a deal that secures more than 3,000 jobs. Intelligent Protection Management Group employs more than 200 staff at its South Yorkshire, as well as over 3,000 casual workers across the country. The company, which was founded in 2006, is a multi-service security, facilities management and stadium management provider, with clients spanning both the public and private sectors. Its clients include the NHS, football clubs, councils, social housing schemes, the catering and hospitality sector, the leisure industry and high street retailers. Despite this strong, diverse client base and the company's prominent position within the industry, Intelligent Protection Management Group recently fell into administration, with Danielle Shore and Ryan Holdsworth from the Sheffield office of Leonard Curtis appointed as joint administrators, Business Sale relates. The joint administrators subsequently confirmed that a buyer has been found for the business, with the deal securing all jobs at the firm, Business Sale discloses. The joint administrators were supported by the legal team at Irwin Mitchell, while the buyer was represented by MD Law, Business Sale states. NEWDAY FUNDING 2024-2: DBRS Gives Prov. BB Rating on E Notes ------------------------------------------------------------ DBRS Ratings Limited assigned provisional credit ratings to the notes (collectively, the Notes) to be issued by NewDay Funding Master Issuer plc (the Issuer) as follows: -- Series 2024-2, Class A Notes at AAA (sf) -- Series 2024-2, Class B Notes at AA (sf) -- Series 2024-2, Class C Notes at A (sf) -- Series 2024-2, Class D Notes at BBB (sf) -- Series 2024-2, Class E Notes at BB (sf) -- Series 2024-2, Class F Notes at B (high) (sf) The credit ratings address the timely payment of scheduled interest and the ultimate repayment of principal by the legal final maturity date. The credit ratings are based on the following analytical considerations: -- The transaction's structure, including the form and sufficiency of available credit enhancement to withstand stressed cash flow assumptions and repay the Issuer's financial obligations according to the terms under which the Notes are issued. -- The credit quality of NewDay Ltd.'s portfolio, the characteristics of the collateral, its historical performance and Morningstar DBRS' expectation of charge-offs, monthly principal payment rate (MPPR), and yield rates under various stress scenarios. -- NewDay Ltd.'s capabilities with respect to origination, underwriting, servicing, and its position in the market and financial strength. -- An operational risk review of NewDay Cards Ltd., which is deemed an acceptable servicer. -- The transaction parties' financial strength regarding their respective roles. -- The consistency of the transaction's legal structure with Morningstar DBRS' methodology "Legal Criteria for European Structured Finance Transactions". -- The sovereign credit rating on United Kingdom of Great Britain and Northern Ireland, currently rated AA with a Stable trend by Morningstar DBRS. TRANSACTION STRUCTURE The Notes are backed by a portfolio of near-prime credit cards granted to individuals domiciled in the UK by NewDay Ltd. and are issued out of the Issuer as part of the NewDay Funding-related master issuance structure under the same requirements regarding servicing, amortization events, priority of distributions, and eligible investments. The transaction includes a scheduled revolving period. During this period, additional receivables may be purchased and transferred to the securitized pool, provided that the eligibility criteria set out in the transaction documents are satisfied. The revolving period may end earlier than scheduled if certain events occur, such as the breach of performance triggers or servicer termination. The servicer may extend the scheduled revolving period by up to 12 months. If the Notes are not fully redeemed at the end of the scheduled revolving period, the transaction enters into a rapid amortization. The transaction also includes a series-specific liquidity reserve to cover shortfalls in senior expenses, senior swap payments (if applicable) and interest on the Class A, Class B, Class C and Class D Notes (collectively, Senior Classes) and would amortize to the target amount of []% of Senior Classes' outstanding balance, subject to a floor of GBP 250,000. As the Notes are denominated in GBP with floating-rate coupons based on the daily compounded Sterling Overnight Index Average (Sonia), there is an interest rate mismatch between the fixed-rate collateral and the Sonia coupon rates. The potential risk is to a certain degree mitigated by excess spread and NewDay Ltd.'s ability to increase the credit card annual percentage rates. COUNTERPARTIES HSBC Bank plc is the account bank for the transaction. Based on Morningstar DBRS private credit rating on HSBC Bank and the downgrade provisions outlined in the transaction documents, Morningstar DBRS considers the risk arising from the exposure to the account bank to be commensurate with the credit ratings assigned. PORTFOLIO ASSUMPTIONS Recent total payment rates including the interest collections declined slightly with a total payment rate of 14.6% in April 2024 following a record high of 15.7% in May 2023 but continue to remain above historical levels. While the recent levels do not appear to be susceptible to the current inflationary pressures and interest rates, Morningstar DBRS elected to maintain the expected MPPR at 8% after removing the interest collections. The portfolio yield was largely stable over the reported period until March 2020, the initial outbreak of the coronavirus pandemic. The most recent performance in March 2024 showed a total yield of 33%, up from the record low of 26% in May 2020 as a result of the consistent repricing of credit card rates by NewDay Ltd. following the Bank of England base rate increases since mid-2022. After consideration of the observed trends and the removal of spend-related fees, Morningstar DBRS maintained the expected yield at 27%. The reported historical annualized charge-off rates were high but stable at around 16% until June 2020. The most recent performance in April 2024 showed a charge-off rate of 12.9% after reaching a record high of 17.6% in April 2020. Based on the analysis of historical charge-off rates, delinquencies and consideration of the current macroeconomic environment, Morningstar DBRS maintained the expected charge-off rate at 18%. Morningstar DBRS credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the Notes are the related Interest Payment Amounts and the Class Balances. Morningstar DBRS credit rating on the Notes also addresses the credit risk associated with the increased rate of interest applicable to the Notes if the Notes are not redeemed on the initial scheduled redemption date as defined in and in accordance with the applicable transaction documents. Morningstar DBRS credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. Morningstar DBRS long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in British pound sterling unless otherwise noted. POPOLARE BARI: DBRS Confirms C Rating on Class B Notes ------------------------------------------------------ DBRS Ratings GmbH confirmed its credit ratings on the notes issued by Popolare Bari NPLS 2017 S.r.l. (the Issuer) as follows: -- Class A notes at CC (sf) -- Class B notes at C (sf) The transaction represents the issuance of Class A, Class B, and Class J notes (collectively, the notes). The credit rating on the Class A notes addresses the timely payment of interest and the ultimate repayment of principal. The credit rating on the Class B notes addresses the ultimate payment of principal and interest. Morningstar DBRS does not rate the Class J notes. At issuance, the notes were backed by an Italian nonperforming loan (NPL) portfolio originated by Banca Popolare di Bari S.c.p.A. and Cassa di Risparmio di Orvieto S.p.A. (the originators). The total gross book value (GBV) of the portfolio as of March 2017 (the cut-off date) was equal to EUR 319.8 million. The pool of receivables comprised secured and unsecured loans (approximately 56.1% and 43.9% of GBV, respectively) with exposure mostly to corporate borrowers and small and medium-size enterprises. The properties in the collateral mainly included residential and industrial properties, accounting for 41.2% and 15.9% of the total property value, respectively. The receivables are serviced by Prelios Credit Servicing S.p.A. (Prelios; the servicer) while Banca Finint S.p.A. (Banca Finint; formerly Securitization Services S.p.A.) operates as backup servicer. CREDIT RATING RATIONALE The credit rating confirmations follow a review of the transaction and are based on the following analytical considerations: -- Transaction performance: An assessment of portfolio recoveries as of March 2024, focusing on (1) a comparison between actual collections and the servicer's initial business plan forecast, (2) the collection performance observed over recent months, and (3) a comparison between the current performance and Morningstar DBRS' expectations. -- Updated business plan: The servicer's updated business plan as of December 2023, received in May 2024, and the comparison with the initial collection expectations. -- Portfolio characteristics: Loan pool composition as of March 2024 and the evolution of its core features since issuance. -- Transaction liquidating structure: The order of priority entails a fully sequential amortization of the notes (i.e., the Class B notes will begin to amortize following the full repayment of the Class A notes, and the Class J notes will amortize following the repayment of the Class B notes). Additionally, interest payments on the Class B notes become subordinated to principal payments on the Class A notes if the net present value cumulative profitability ratio is lower than 90%. The interest subordination event occurred in October 2021 and has been cured since the October 2022 interest payment date. The trigger has been breached again since the October 2023 interest payment date. According to the servicer, the cumulative net collection ratio and the net present value cumulative profitability ratio were 45.6% and 89.1%, respectively, in March 2024. -- Liquidity support: The transaction benefits from an amortizing cash reserve providing liquidity to the structure covering potential interest shortfall on the Class A notes and senior fees. The cash reserve target amount is equal to 4.0% of the Class A principal outstanding and is currently fully funded. TRANSACTION AND PERFORMANCE According to the latest investor report from April 2024, the outstanding principal amounts of the Class A, Class B, and Class J notes were EUR 53.3 million, EUR 10.1 million, and EUR 13.5 million, respectively. As of the April 2024 payment date, the balance of the Class A notes had amortized by 34.1% since issuance, and the current aggregated transaction balance was EUR 76.8 million. As of March 2024, the transaction was performing below the servicer's business plan expectations. The actual cumulative gross collections equaled EUR 47.9 million, whereas the servicer's initial business plan estimated cumulative gross collections of EUR 103.5 million for the same period. Therefore, as of March 2024, the transaction was underperforming by EUR 55.6 million (53.7%) compared with the initial business plan expectations. At issuance, Morningstar DBRS estimated cumulative gross collections for the same period of EUR 77.5 million at the BBB (low) (sf) stressed scenario and EUR 86.7 million at the B (low) (sf) stressed scenario. Therefore, as of March 2024, the transaction was performing below Morningstar DBRS' initial stressed expectations. Pursuant to the requirements set out in the receivable servicing agreement, in May 2024, the servicer delivered an updated portfolio business plan as of December 2023. The updated portfolio business plan, combined with the actual cumulative gross collections of EUR 47.0 million as of December 2023, results in a total of EUR 71.9 million, which is 40.3% lower than the total gross disposition proceeds of EUR 120.4 million estimated in the initial business plan. Excluding actual collections as of March 2024, the servicer's expected future collections from April 2024 amount to EUR 24.0 million, which is less than the current balance of the Class A notes. In Morningstar DBRS' CCC (sf) scenario, the Servicer's updated forecast was adjusted only in terms of actual collections to date and the timing of future expected collections, resulting in EUR 24.1 million in recoveries. Considering the material gap between the future expected collections and the current balance of Class A notes, the full repayment of the Class A principal is unlikely, but considering the transaction structure, a payment default on the notes would likely occur only in a few years. Given the characteristics of the Class B notes, as defined in the transaction documents, Morningstar DBRS notes that a default would most likely be recognized only at the maturity or early termination of the transaction. The final maturity date of the transaction is October 30, 2037. Morningstar DBRS' credit ratings on the Class A and Class B notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amounts and the related Class Balance. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in euros unless otherwise noted. T BELLO GROUP: Begbies and FRP Advisory Named as Administrators --------------------------------------------------------------- T Bello Group Limited and T Bello UK Ltd have been placed in administration before the High Court of Justice - Business and Property Courts of England and Wales, Court Number: CR-2024-003782. Begbies Traynor (London) LLP and FRP Advisory Trading Limited were appointed as administrators on June 26, 2024. The Administrators may be reached at: Kirstie Jane Provan Robert Andrew Ferne Gary Paul Shankland Begbies Traynor (London) LLP 31st Floor, 40 Bank Street London, E14 5NR - and - Anthony Wright FRP Advisory Trading Limited 110 Cannon Street London, EC4N 6EU Any person who requires further information may contact David Hetherington of Begbies Traynor (London) LLP by e-mail at David.Hetherington@btguk.com or by telephone on 020 7516 1500. T Bello operates licensed restaurants. Its registered office is at 2nd Floor Kirkland House, 11-15 Peterborough Road, Harrow, Middlesex, HA1 2AX. VALLAND PERSONNEL: SFP Appointed as Administrator ------------------------------------------------- Valland Personnel Limited has been placed in administration before the High Court of Justice, Business and Property Courts of England & Wales, Court Number: CR-2024-003798. SFP Restructuring Limited was appointed as case administrators on June 27, 2024. The Administrators are: David Kemp Richard Hunt SFP 9 Ensign House Admirals Way, Marsh Wall London, E14 9XQ Tel: 0207 538 2222 Valland Personnel Limited operates a temporary employment agency. Its principal trading address is at 8 Faraday Court, Conduit Street, Leicester, LE2 0JN. =============== X X X X X X X X =============== [*] BOND PRICING: For the Week July 1 to July 5, 2024 ----------------------------------------------------- Issuer Coupon Maturity Currency Price ------ ------ -------- -------- ----- Codere Finance 2 Luxembo 11.000 9/30/2026 EUR 45.833 Altice France Holding SA 10.500 5/15/2027 USD 38.867 R-Logitech Finance SA 10.250 9/26/2027 EUR 15.000 Codere Finance 2 Luxembo 12.750 11/30/2027 EUR 0.899 IOG Plc 13.217 9/20/2024 EUR 6.458 Solis Bond Co DAC 10.211 7/31/2024 EUR 50.000 Codere Finance 2 Luxembo 13.625 11/30/2027 USD 1.000 Saderea DAC 12.500 11/30/2026 USD 49.268 Bakkegruppen AS 11.720 2/3/2025 NOK 45.694 Fastator AB 12.500 9/26/2025 SEK 32.399 Ilija Batljan Invest AB 10.470 SEK 3.500 Codere Finance 2 Luxembo 13.625 11/30/2027 USD 1.000 Turkiye Government Bond 10.400 10/13/2032 TRY 49.000 Codere Finance 2 Luxembo 11.000 9/30/2026 EUR 45.833 Tinkoff Bank JSC Via TCS 11.002 USD 42.855 Solocal Group 10.719 3/15/2025 EUR 20.858 Kvalitena AB publ 10.067 4/2/2024 SEK 45.000 Fastator AB 12.500 9/25/2026 SEK 32.399 Immigon Portfolioabbau A 10.055 EUR 5.050 Marginalen Bank Bankakti 12.996 SEK 45.000 Oscar Properties Holding 11.270 7/5/2024 SEK 0.265 Bourbon Corp SA 11.652 EUR 1.371 UkrLandFarming PLC 10.875 3/26/2018 USD 4.202 Bilt Paper BV 10.360 USD 0.551 Plusplus Capital Financi 11.000 7/29/2026 EUR 10.390 Societe Generale SA 18.000 8/30/2024 USD 33.800 Fastator AB 12.500 9/24/2027 SEK 36.470 Transcapitalbank JSC Via 10.000 USD 1.450 Virgolino de Oliveira Fi 11.750 2/9/2022 USD 0.638 Societe Generale SA 18.000 8/30/2024 USD 19.400 Avangardco Investments P 10.000 10/29/2018 USD 0.108 Altice France Holding SA 10.500 5/15/2027 USD 38.339 Virgolino de Oliveira Fi 10.500 1/28/2018 USD 0.010 Sidetur Finance BV 10.000 4/20/2016 USD 0.491 Citigroup Global Markets 25.530 2/18/2025 EUR 0.060 Societe Generale SA 16.000 7/3/2024 USD 19.700 Virgolino de Oliveira Fi 10.500 1/28/2018 USD 0.010 Privatbank CJSC Via UK S 10.875 2/28/2018 USD 5.277 Privatbank CJSC Via UK S 10.250 1/23/2018 USD 3.751 Solocal Group 10.719 3/15/2025 EUR 9.291 UBS AG/London 16.500 7/22/2024 CHF 8.460 Privatbank CJSC Via UK S 11.000 2/9/2021 USD 0.743 Codere Finance 2 Luxembo 12.750 11/30/2027 EUR 0.899 Goldman Sachs Internatio 16.288 3/17/2027 USD 25.690 Phosphorus Holdco PLC 10.000 4/1/2019 GBP 1.316 Societe Generale SA 15.110 10/31/2024 USD 21.500 Virgolino de Oliveira Fi 10.875 1/13/2020 USD 36.000 Societe Generale SA 11.000 7/14/2026 USD 10.000 Societe Generale SA 14.000 8/8/2024 USD 38.803 Raiffeisen Switzerland B 10.500 7/11/2024 USD 26.020 Leonteq Securities AG/Gu 12.490 7/10/2024 USD 23.960 Bulgaria Steel Finance B 12.000 5/4/2013 EUR 0.216 Sidetur Finance BV 10.000 4/20/2016 USD 0.491 Societe Generale SA 20.000 7/21/2026 USD 3.940 Petromena ASA 10.850 11/19/2018 USD 0.622 Societe Generale SA 21.000 12/26/2025 USD 28.870 Tailwind Energy Chinook 12.500 9/27/2019 USD 1.500 Societe Generale SA 15.000 9/29/2025 USD 6.267 Societe Generale SA 20.000 11/28/2025 USD 4.500 Societe Generale SA 26.640 10/30/2025 USD 2.170 Societe Generale SA 16.000 8/1/2024 USD 12.500 UniCredit Bank GmbH 10.300 9/27/2024 EUR 25.430 Ukraine Government Bond 11.000 2/16/2037 UAH 36.604 NTRP Via Interpipe Ltd 10.250 8/2/2017 USD 1.009 Bulgaria Steel Finance B 12.000 5/4/2013 EUR 0.216 Societe Generale SA 20.000 12/18/2025 USD 21.900 BLT Finance BV 12.000 2/10/2015 USD 10.500 Basler Kantonalbank 17.000 7/19/2024 CHF 41.520 Inecobank CJSC 10.000 4/28/2025 AMD 0.000 Raiffeisen Schweiz Genos 20.000 8/7/2024 CHF 33.700 HSBC Trinkaus & Burkhard 15.100 12/30/2024 EUR 26.760 Ukraine Government Bond 11.000 4/1/2037 UAH 36.632 Swissquote Bank SA 27.700 9/4/2024 CHF 45.080 Leonteq Securities AG/Gu 22.000 8/7/2024 CHF 23.860 Raiffeisen Switzerland B 20.000 7/10/2024 CHF 40.660 Leonteq Securities AG 21.000 10/30/2024 CHF 40.450 Societe Generale SA 14.300 8/22/2024 USD 11.000 Leonteq Securities AG/Gu 26.000 7/24/2024 CHF 40.360 Raiffeisen Schweiz Genos 16.000 7/24/2024 CHF 41.000 PA Resources AB 13.500 3/3/2016 SEK 0.124 ACBA Bank OJSC 11.500 3/1/2026 AMD 0.000 National Mortgage Co RCO 12.000 3/30/2026 AMD 0.000 Societe Generale SA 22.750 10/17/2024 USD 20.610 Privatbank CJSC Via UK S 10.875 2/28/2018 USD 5.277 Tonon Luxembourg SA 12.500 5/14/2024 USD 0.010 Virgolino de Oliveira Fi 10.875 1/13/2020 USD 36.000 KPNQwest NV 10.000 3/15/2012 EUR 0.753 Banco Espirito Santo SA 10.000 12/6/2021 EUR 0.058 Societe Generale SA 25.260 10/30/2025 USD 9.200 UBS AG/London 21.600 8/2/2027 SEK 29.450 Landesbank Baden-Wuertte 12.000 1/3/2025 EUR 40.670 Landesbank Baden-Wuertte 15.000 1/3/2025 EUR 35.450 Landesbank Baden-Wuertte 18.000 1/3/2025 EUR 33.660 Landesbank Baden-Wuertte 10.000 10/25/2024 EUR 27.310 Landesbank Baden-Wuertte 11.500 10/25/2024 EUR 24.830 Landesbank Baden-Wuertte 14.000 1/24/2025 EUR 36.980 Bank Vontobel AG 14.000 3/5/2025 CHF 41.000 DZ Bank AG Deutsche Zent 16.500 12/27/2024 EUR 48.560 UniCredit Bank GmbH 16.550 8/18/2025 USD 25.150 Landesbank Baden-Wuertte 16.000 1/24/2025 EUR 47.750 Landesbank Baden-Wuertte 11.500 2/28/2025 EUR 46.300 Landesbank Baden-Wuertte 15.000 2/28/2025 EUR 42.610 Landesbank Baden-Wuertte 19.000 2/28/2025 EUR 40.670 Vontobel Financial Produ 13.000 9/27/2024 EUR 47.440 Vontobel Financial Produ 15.500 9/27/2024 EUR 44.000 Vontobel Financial Produ 12.000 9/27/2024 EUR 49.620 Vontobel Financial Produ 17.000 9/27/2024 EUR 42.570 Vontobel Financial Produ 14.000 9/27/2024 EUR 45.590 Vontobel Financial Produ 18.000 9/27/2024 EUR 41.140 Vontobel Financial Produ 21.000 9/27/2024 EUR 38.900 Vontobel Financial Produ 19.500 9/27/2024 EUR 39.990 UniCredit Bank GmbH 15.100 9/27/2024 EUR 31.960 Leonteq Securities AG/Gu 26.000 7/31/2024 CHF 31.850 Leonteq Securities AG 28.000 9/5/2024 CHF 44.350 Leonteq Securities AG 24.000 9/5/2024 CHF 45.920 UniCredit Bank GmbH 12.800 2/28/2025 EUR 50.360 UniCredit Bank GmbH 14.500 11/22/2024 EUR 26.900 UniCredit Bank GmbH 13.100 2/28/2025 EUR 30.680 UniCredit Bank GmbH 14.500 2/28/2025 EUR 29.790 Swissquote Bank SA 27.050 7/31/2024 CHF 43.910 DZ Bank AG Deutsche Zent 14.000 9/25/2024 EUR 45.150 UniCredit Bank GmbH 14.400 9/27/2024 EUR 48.490 DZ Bank AG Deutsche Zent 10.750 12/27/2024 EUR 42.160 Landesbank Baden-Wuertte 15.000 1/3/2025 EUR 48.440 Landesbank Baden-Wuertte 12.000 1/24/2025 EUR 35.900 Landesbank Baden-Wuertte 15.500 1/24/2025 EUR 31.410 UniCredit Bank GmbH 14.900 8/23/2024 EUR 44.730 UniCredit Bank GmbH 14.700 8/23/2024 EUR 23.570 UniCredit Bank GmbH 13.800 2/28/2025 EUR 30.330 Bank Vontobel AG 11.000 7/26/2024 USD 40.500 Vontobel Financial Produ 24.500 9/27/2024 EUR 37.540 UniCredit Bank GmbH 16.400 9/27/2024 EUR 30.610 Landesbank Baden-Wuertte 11.000 3/28/2025 EUR 38.190 Landesbank Baden-Wuertte 13.000 3/28/2025 EUR 35.740 Leonteq Securities AG/Gu 22.000 10/2/2024 CHF 45.400 Leonteq Securities AG 21.000 1/3/2025 CHF 29.220 Landesbank Baden-Wuertte 15.000 3/28/2025 EUR 34.130 Landesbank Baden-Wuertte 10.500 1/2/2026 EUR 44.370 Finca Uco Cjsc 12.000 2/10/2025 AMD 0.000 Societe Generale SA 24.000 4/3/2025 USD 44.000 UniCredit Bank GmbH 18.500 12/31/2024 EUR 28.250 UniCredit Bank GmbH 19.300 12/31/2024 EUR 27.820 Ukraine Government Bond 11.000 4/24/2037 UAH 39.247 Leonteq Securities AG 24.000 1/16/2025 CHF 47.450 Vontobel Financial Produ 16.500 12/31/2024 EUR 48.320 Vontobel Financial Produ 18.500 12/31/2024 EUR 47.470 Vontobel Financial Produ 20.250 12/31/2024 EUR 46.650 Vontobel Financial Produ 13.000 12/31/2024 EUR 50.650 Vontobel Financial Produ 14.750 12/31/2024 EUR 49.370 Swissquote Bank SA 15.740 10/31/2024 CHF 26.480 HSBC Trinkaus & Burkhard 12.500 12/30/2024 EUR 28.460 HSBC Trinkaus & Burkhard 10.800 12/30/2024 EUR 30.150 HSBC Trinkaus & Burkhard 11.300 6/27/2025 EUR 44.780 HSBC Trinkaus & Burkhard 17.700 7/26/2024 EUR 32.030 HSBC Trinkaus & Burkhard 13.800 7/26/2024 EUR 35.850 HSBC Trinkaus & Burkhard 17.100 8/23/2024 EUR 33.240 HSBC Trinkaus & Burkhard 13.500 8/23/2024 EUR 36.780 HSBC Trinkaus & Burkhard 10.800 8/23/2024 EUR 40.530 HSBC Trinkaus & Burkhard 12.800 10/25/2024 EUR 38.680 HSBC Trinkaus & Burkhard 10.400 10/25/2024 EUR 42.070 HSBC Trinkaus & Burkhard 15.600 11/22/2024 EUR 36.570 HSBC Trinkaus & Burkhard 12.600 11/22/2024 EUR 39.460 HSBC Trinkaus & Burkhard 10.300 11/22/2024 EUR 42.700 Leonteq Securities AG/Gu 20.000 8/7/2024 CHF 10.010 Leonteq Securities AG/Gu 30.000 8/7/2024 CHF 32.970 HSBC Trinkaus & Burkhard 17.600 9/27/2024 EUR 22.980 HSBC Trinkaus & Burkhard 17.800 9/27/2024 EUR 33.540 HSBC Trinkaus & Burkhard 11.800 9/27/2024 EUR 39.510 HSBC Trinkaus & Burkhard 16.100 12/30/2024 EUR 36.790 HSBC Trinkaus & Burkhard 11.100 12/30/2024 EUR 41.820 HSBC Trinkaus & Burkhard 15.900 3/28/2025 EUR 39.030 HSBC Trinkaus & Burkhard 15.000 3/28/2025 EUR 39.670 HSBC Trinkaus & Burkhard 13.300 6/27/2025 EUR 42.690 Ukraine Government Bond 11.000 3/24/2037 UAH 36.624 Ukraine Government Bond 11.000 4/8/2037 UAH 36.641 Ukraine Government Bond 11.000 4/20/2037 UAH 36.709 Ukraine Government Bond 11.000 4/23/2037 UAH 36.663 Swissquote Bank Europe S 25.320 2/26/2025 CHF 48.470 Landesbank Baden-Wuertte 16.000 10/25/2024 EUR 45.420 UniCredit Bank GmbH 13.700 9/27/2024 EUR 26.890 Leonteq Securities AG 24.000 1/13/2025 CHF 22.990 Landesbank Baden-Wuertte 13.000 9/27/2024 EUR 43.950 Landesbank Baden-Wuertte 15.000 9/27/2024 EUR 41.000 Landesbank Baden-Wuertte 18.000 9/27/2024 EUR 38.810 Landesbank Baden-Wuertte 21.000 9/27/2024 EUR 37.020 Landesbank Baden-Wuertte 23.000 9/27/2024 EUR 35.340 Landesbank Baden-Wuertte 13.000 1/3/2025 EUR 47.260 Landesbank Baden-Wuertte 14.000 1/3/2025 EUR 44.400 Landesbank Baden-Wuertte 16.000 1/3/2025 EUR 42.520 Landesbank Baden-Wuertte 18.000 1/3/2025 EUR 41.030 Landesbank Baden-Wuertte 21.000 1/3/2025 EUR 40.350 Landesbank Baden-Wuertte 16.000 1/3/2025 EUR 37.880 Landesbank Baden-Wuertte 19.000 1/3/2025 EUR 35.680 Landesbank Baden-Wuertte 22.000 1/3/2025 EUR 34.250 Landesbank Baden-Wuertte 25.000 1/3/2025 EUR 33.360 Landesbank Baden-Wuertte 14.000 6/27/2025 EUR 41.920 Landesbank Baden-Wuertte 16.000 6/27/2025 EUR 40.450 Landesbank Baden-Wuertte 19.000 6/27/2025 EUR 40.590 Landesbank Baden-Wuertte 27.000 9/27/2024 EUR 39.370 Landesbank Baden-Wuertte 21.000 6/27/2025 EUR 40.290 UniCredit Bank GmbH 14.800 9/27/2024 EUR 25.980 Raiffeisen Schweiz Genos 20.000 10/16/2024 CHF 30.450 DZ Bank AG Deutsche Zent 23.100 12/31/2024 EUR 49.840 DZ Bank AG Deutsche Zent 21.500 9/27/2024 EUR 50.290 UBS AG/London 13.000 9/30/2024 CHF 16.340 Leonteq Securities AG/Gu 19.000 8/8/2024 CHF 35.140 DZ Bank AG Deutsche Zent 11.800 9/27/2024 EUR 46.160 Bank Vontobel AG 10.500 7/29/2024 EUR 45.200 UBS AG/London 12.000 11/4/2024 EUR 47.350 UBS AG/London 11.590 5/1/2025 USD 9.890 Fast Credit Capital UCO 11.500 7/13/2024 AMD 0.000 Bank Vontobel AG 11.000 9/10/2024 EUR 47.600 UBS AG/London 11.250 9/16/2024 EUR 46.450 Leonteq Securities AG 24.000 9/4/2024 CHF 44.120 Swissquote Bank SA 16.380 7/31/2024 CHF 8.480 Leonteq Securities AG/Gu 25.000 9/5/2024 EUR 45.260 Leonteq Securities AG/Gu 24.000 9/5/2024 CHF 45.390 UniCredit Bank GmbH 19.100 12/31/2024 EUR 26.330 UniCredit Bank GmbH 20.000 12/31/2024 EUR 25.760 Basler Kantonalbank 12.000 9/9/2024 EUR 49.230 UBS AG/London 10.500 9/23/2024 EUR 48.700 DZ Bank AG Deutsche Zent 21.100 9/27/2024 EUR 45.810 Landesbank Baden-Wuertte 16.000 6/27/2025 EUR 47.960 Bank Vontobel AG 10.250 8/5/2024 EUR 48.500 Bank Vontobel AG 13.500 1/8/2025 CHF 17.000 Evocabank CJSC 11.000 9/28/2024 AMD 0.000 Armenian Economy Develop 10.500 5/4/2025 AMD 0.000 Bank Vontobel AG 20.500 11/4/2024 CHF 39.100 Bank Vontobel AG 10.000 9/2/2024 EUR 45.700 Leonteq Securities AG/Gu 11.000 1/9/2025 CHF 45.460 UniCredit Bank GmbH 14.800 9/27/2024 EUR 23.960 UniCredit Bank GmbH 16.900 9/27/2024 EUR 22.770 UniCredit Bank GmbH 18.000 9/27/2024 EUR 22.280 Landesbank Baden-Wuertte 13.300 8/23/2024 EUR 36.480 Landesbank Baden-Wuertte 10.200 8/23/2024 EUR 44.710 UBS AG/London 10.000 3/23/2026 USD 22.940 Zurcher Kantonalbank Fin 24.000 11/22/2024 EUR 33.230 UniCredit Bank GmbH 13.800 9/27/2024 EUR 24.690 UniCredit Bank GmbH 15.800 9/27/2024 EUR 23.320 UniCredit Bank GmbH 19.100 9/27/2024 EUR 21.850 Corner Banca SA 11.500 8/13/2024 CHF 48.810 UniCredit Bank GmbH 18.800 7/25/2024 EUR 30.090 Leonteq Securities AG 24.000 7/3/2024 CHF 36.750 Landesbank Baden-Wuertte 18.000 11/22/2024 EUR 35.010 Landesbank Baden-Wuertte 14.500 11/22/2024 EUR 39.560 HSBC Trinkaus & Burkhard 17.400 12/30/2024 EUR 43.890 Leonteq Securities AG/Gu 14.000 7/3/2024 CHF 6.880 Landesbank Baden-Wuertte 11.000 11/22/2024 EUR 46.790 HSBC Trinkaus & Burkhard 18.300 9/27/2024 EUR 28.080 HSBC Trinkaus & Burkhard 19.600 12/30/2024 EUR 40.850 HSBC Trinkaus & Burkhard 13.600 9/27/2024 EUR 33.360 HSBC Trinkaus & Burkhard 15.900 9/27/2024 EUR 30.350 DZ Bank AG Deutsche Zent 13.100 9/27/2024 EUR 46.760 DZ Bank AG Deutsche Zent 11.000 9/27/2024 EUR 51.170 UniCredit Bank GmbH 18.100 9/5/2024 EUR 38.520 UBS AG/London 14.250 8/19/2024 CHF 29.220 UBS AG/London 25.000 7/12/2024 CHF 40.100 UniCredit Bank GmbH 19.500 12/31/2024 EUR 29.760 Swissquote Bank SA 21.320 7/17/2024 CHF 46.500 Swissquote Bank SA 26.040 7/17/2024 CHF 39.090 UniCredit Bank GmbH 18.600 12/31/2024 EUR 30.310 EFG International Financ 15.000 7/12/2024 CHF 26.490 Leonteq Securities AG/Gu 15.000 9/12/2024 USD 4.510 Swissquote Bank SA 26.120 7/10/2024 CHF 37.620 DZ Bank AG Deutsche Zent 14.000 12/20/2024 EUR 48.470 Leonteq Securities AG 24.000 7/17/2024 CHF 12.460 DZ Bank AG Deutsche Zent 17.800 9/27/2024 EUR 40.760 DZ Bank AG Deutsche Zent 17.900 9/27/2024 EUR 47.210 DZ Bank AG Deutsche Zent 16.800 9/27/2024 EUR 48.790 DZ Bank AG Deutsche Zent 23.500 9/27/2024 EUR 41.170 Leonteq Securities AG 28.000 8/21/2024 CHF 38.620 Leonteq Securities AG 20.000 8/21/2024 CHF 36.320 Landesbank Baden-Wuertte 18.500 8/23/2024 EUR 48.690 Landesbank Baden-Wuertte 20.000 8/23/2024 EUR 46.040 Landesbank Baden-Wuertte 10.000 8/23/2024 EUR 31.310 Landesbank Baden-Wuertte 15.000 8/23/2024 EUR 24.560 Leonteq Securities AG/Gu 20.000 7/3/2024 CHF 40.790 Leonteq Securities AG 26.000 7/3/2024 CHF 34.810 Swissquote Bank SA 23.990 7/3/2024 CHF 41.760 Basler Kantonalbank 22.000 9/6/2024 CHF 41.420 Landesbank Baden-Wuertte 14.000 10/24/2025 EUR 47.640 UniCredit Bank GmbH 13.500 2/28/2025 EUR 32.410 UniCredit Bank GmbH 13.900 11/22/2024 EUR 28.930 UniCredit Bank GmbH 14.300 8/23/2024 EUR 25.760 Leonteq Securities AG 20.000 7/3/2024 CHF 8.230 Corner Banca SA 15.000 7/3/2024 CHF 34.940 Societe Generale SA 16.000 8/1/2024 USD 23.300 Societe Generale SA 15.000 8/1/2024 USD 19.400 UniCredit Bank GmbH 13.400 9/27/2024 EUR 28.130 Zurcher Kantonalbank Fin 22.000 8/6/2024 USD 26.050 Leonteq Securities AG/Gu 21.000 8/14/2024 CHF 37.960 Leonteq Securities AG/Gu 22.000 8/14/2024 CHF 17.650 Leonteq Securities AG/Gu 24.000 8/14/2024 CHF 31.310 Vontobel Financial Produ 20.000 9/27/2024 EUR 48.330 Vontobel Financial Produ 18.500 9/27/2024 EUR 49.540 Vontobel Financial Produ 20.500 9/27/2024 EUR 48.700 UBS AG/London 19.000 7/12/2024 CHF 31.850 UBS AG/London 14.250 7/12/2024 EUR 6.340 Leonteq Securities AG/Gu 15.000 8/21/2024 CHF 50.550 Leonteq Securities AG 21.000 7/17/2024 CHF 46.410 Finca Uco Cjsc 13.000 5/30/2025 AMD 0.000 UniCredit Bank GmbH 15.200 12/31/2024 EUR 37.220 UniCredit Bank GmbH 16.100 12/31/2024 EUR 35.780 UniCredit Bank GmbH 17.000 12/31/2024 EUR 34.560 HSBC Trinkaus & Burkhard 14.300 9/27/2024 EUR 38.170 HSBC Trinkaus & Burkhard 11.900 9/27/2024 EUR 41.680 HSBC Trinkaus & Burkhard 13.400 3/28/2025 EUR 42.160 HSBC Trinkaus & Burkhard 13.800 7/26/2024 EUR 37.760 HSBC Trinkaus & Burkhard 10.900 8/23/2024 EUR 42.940 Leonteq Securities AG/Gu 22.000 9/11/2024 CHF 40.660 Raiffeisen Schweiz Genos 20.000 9/11/2024 CHF 40.700 UniCredit Bank GmbH 18.900 12/31/2024 EUR 32.680 UniCredit Bank GmbH 19.800 12/31/2024 EUR 31.920 HSBC Trinkaus & Burkhard 16.800 9/27/2024 EUR 35.420 HSBC Trinkaus & Burkhard 16.300 12/30/2024 EUR 37.620 HSBC Trinkaus & Burkhard 15.200 12/30/2024 EUR 38.510 Landesbank Baden-Wuertte 14.000 6/27/2025 EUR 42.890 HSBC Trinkaus & Burkhard 11.600 3/28/2025 EUR 44.510 HSBC Trinkaus & Burkhard 13.500 8/23/2024 EUR 38.730 HSBC Trinkaus & Burkhard 18.100 12/30/2024 EUR 35.280 HSBC Trinkaus & Burkhard 15.700 12/30/2024 EUR 38.100 Bank Vontobel AG 29.000 9/10/2024 USD 36.900 UniCredit Bank GmbH 18.000 12/31/2024 EUR 33.560 HSBC Trinkaus & Burkhard 13.100 12/30/2024 EUR 40.840 HSBC Trinkaus & Burkhard 11.100 12/30/2024 EUR 43.940 UBS AG/London 13.500 8/15/2024 CHF 43.000 Leonteq Securities AG 24.000 8/28/2024 CHF 45.800 Raiffeisen Schweiz Genos 20.000 8/28/2024 CHF 12.060 Swissquote Bank SA 23.200 8/28/2024 CHF 44.440 Leonteq Securities AG/Gu 22.000 8/28/2024 CHF 40.740 Basler Kantonalbank 24.000 7/5/2024 CHF 36.170 HSBC Trinkaus & Burkhard 12.400 9/27/2024 EUR 36.080 Landesbank Baden-Wuertte 10.000 6/27/2025 EUR 49.640 HSBC Trinkaus & Burkhard 11.100 7/26/2024 EUR 42.180 HSBC Trinkaus & Burkhard 16.200 8/23/2024 EUR 35.400 HSBC Trinkaus & Burkhard 17.700 9/27/2024 EUR 44.170 DZ Bank AG Deutsche Zent 14.400 9/27/2024 EUR 46.230 Basler Kantonalbank 21.000 7/5/2024 CHF 41.140 Swissquote Bank SA 24.040 9/11/2024 CHF 41.630 Leonteq Securities AG 18.000 9/11/2024 CHF 11.810 UniCredit Bank GmbH 13.800 8/23/2024 EUR 46.680 UniCredit Bank GmbH 14.200 11/22/2024 EUR 47.970 Lehman Brothers Treasury 16.000 10/8/2008 CHF 0.100 HSBC Trinkaus & Burkhard 17.500 12/30/2024 EUR 24.470 HSBC Trinkaus & Burkhard 18.750 9/27/2024 EUR 20.560 Lehman Brothers Treasury 14.900 9/15/2008 EUR 0.100 UniCredit Bank GmbH 18.800 12/31/2024 EUR 24.990 Lehman Brothers Treasury 18.250 10/2/2008 USD 0.100 Lehman Brothers Treasury 14.900 11/16/2010 EUR 0.100 Lehman Brothers Treasury 13.000 7/25/2012 EUR 0.100 Leonteq Securities AG/Gu 22.000 9/18/2024 CHF 48.690 UniCredit Bank GmbH 19.700 12/31/2024 EUR 24.860 Leonteq Securities AG 20.000 9/18/2024 CHF 21.790 Vontobel Financial Produ 11.000 12/31/2024 EUR 46.970 BNP Paribas Emissions- u 15.000 12/30/2024 EUR 49.630 BNP Paribas Emissions- u 17.000 12/30/2024 EUR 46.950 BNP Paribas Emissions- u 12.000 12/30/2024 EUR 50.300 BNP Paribas Emissions- u 16.000 12/30/2024 EUR 48.210 Leonteq Securities AG 24.000 7/10/2024 CHF 37.780 Leonteq Securities AG 26.000 7/10/2024 CHF 33.280 Leonteq Securities AG 20.000 8/28/2024 CHF 10.020 UniCredit Bank GmbH 15.000 8/23/2024 EUR 24.670 UniCredit Bank GmbH 12.900 11/22/2024 EUR 49.590 UniCredit Bank GmbH 14.700 11/22/2024 EUR 28.030 Bank Julius Baer & Co Lt 12.720 2/17/2025 CHF 40.750 Vontobel Financial Produ 18.000 9/27/2024 EUR 18.480 Vontobel Financial Produ 13.250 9/27/2024 EUR 43.450 Vontobel Financial Produ 10.000 9/27/2024 EUR 46.770 Landesbank Baden-Wuertte 19.000 4/28/2025 EUR 47.620 Leonteq Securities AG 24.000 1/9/2025 CHF 32.500 Leonteq Securities AG/Gu 24.000 7/10/2024 CHF 37.110 Citigroup Global Markets 14.650 7/22/2024 HKD 37.170 UniCredit Bank GmbH 19.300 12/31/2024 EUR 27.100 Leonteq Securities AG/Gu 23.290 8/29/2024 CHF 45.310 Landesbank Baden-Wuertte 16.500 4/28/2025 EUR 48.300 Leonteq Securities AG 25.000 12/11/2024 CHF 49.010 BNP Paribas Issuance BV 19.000 9/18/2026 EUR 0.980 Landesbank Baden-Wuertte 15.000 9/27/2024 EUR 45.710 Landesbank Baden-Wuertte 17.000 9/27/2024 EUR 42.240 Landesbank Baden-Wuertte 18.500 9/27/2024 EUR 40.320 Landesbank Baden-Wuertte 10.500 11/22/2024 EUR 46.600 Landesbank Baden-Wuertte 16.000 11/22/2024 EUR 37.930 UniCredit Bank GmbH 13.500 9/27/2024 EUR 35.580 UniCredit Bank GmbH 14.900 9/27/2024 EUR 33.780 UniCredit Bank GmbH 13.500 12/31/2024 EUR 38.770 Corner Banca SA 23.000 8/21/2024 CHF 39.460 Leonteq Securities AG 24.000 8/21/2024 CHF 41.960 HSBC Trinkaus & Burkhard 22.250 6/27/2025 EUR 38.170 HSBC Trinkaus & Burkhard 12.750 6/27/2025 EUR 47.380 Leonteq Securities AG 24.000 9/25/2024 CHF 46.440 Raiffeisen Schweiz Genos 20.000 9/25/2024 CHF 22.790 Raiffeisen Schweiz Genos 20.000 9/25/2024 CHF 18.360 UniCredit Bank GmbH 17.200 12/31/2024 EUR 23.180 UniCredit Bank GmbH 18.000 12/31/2024 EUR 23.090 UniCredit Bank GmbH 18.800 12/31/2024 EUR 23.010 UniCredit Bank GmbH 19.600 12/31/2024 EUR 22.970 Lehman Brothers Treasury 10.500 8/9/2010 EUR 0.100 Lehman Brothers Treasury 10.000 3/27/2009 USD 0.100 HSBC Trinkaus & Burkhard 17.500 6/27/2025 EUR 39.940 HSBC Trinkaus & Burkhard 11.250 6/27/2025 EUR 30.730 HSBC Trinkaus & Burkhard 15.500 6/27/2025 EUR 29.300 Leonteq Securities AG 23.000 12/27/2024 CHF 24.750 ACBA Bank OJSC 11.000 12/1/2025 AMD 0.000 Leonteq Securities AG/Gu 15.000 7/24/2024 CHF 8.520 Raiffeisen Schweiz Genos 20.000 7/24/2024 CHF 40.560 BNP Paribas Issuance BV 20.000 9/18/2026 EUR 27.040 Lehman Brothers Treasury 11.000 12/19/2011 USD 0.100 Lehman Brothers Treasury 15.000 3/30/2011 EUR 0.100 Lehman Brothers Treasury 13.500 11/28/2008 USD 0.100 Lehman Brothers Treasury 11.000 6/29/2009 EUR 0.100 Societe Generale SA 20.000 1/3/2025 USD 7.400 Bank Vontobel AG 15.500 11/18/2024 CHF 42.000 UniCredit Bank GmbH 10.500 9/23/2024 EUR 24.960 Societe Generale SA 15.000 10/31/2024 USD 28.575 Leonteq Securities AG/Gu 23.000 7/24/2024 CHF 36.640 Leonteq Securities AG/Gu 27.000 7/24/2024 CHF 7.040 HSBC Trinkaus & Burkhard 17.300 9/27/2024 EUR 24.630 HSBC Trinkaus & Burkhard 14.800 12/30/2024 EUR 28.470 HSBC Trinkaus & Burkhard 15.100 3/28/2025 EUR 40.370 HSBC Trinkaus & Burkhard 15.200 12/30/2024 EUR 32.320 HSBC Trinkaus & Burkhard 18.100 3/28/2025 EUR 31.250 HSBC Trinkaus & Burkhard 18.000 7/26/2024 EUR 32.800 HSBC Trinkaus & Burkhard 17.400 8/23/2024 EUR 34.010 HSBC Trinkaus & Burkhard 13.800 8/23/2024 EUR 37.780 HSBC Trinkaus & Burkhard 13.100 10/25/2024 EUR 39.710 HSBC Trinkaus & Burkhard 15.700 11/22/2024 EUR 37.310 Erste Group Bank AG 14.500 5/31/2026 EUR 45.200 HSBC Trinkaus & Burkhard 13.400 12/30/2024 EUR 29.450 HSBC Trinkaus & Burkhard 18.000 9/27/2024 EUR 34.270 HSBC Trinkaus & Burkhard 15.400 9/27/2024 EUR 36.660 HSBC Trinkaus & Burkhard 12.100 9/27/2024 EUR 40.630 HSBC Trinkaus & Burkhard 11.400 12/30/2024 EUR 43.020 HSBC Trinkaus & Burkhard 16.000 3/28/2025 EUR 39.700 HSBC Trinkaus & Burkhard 11.000 3/28/2025 EUR 45.140 HSBC Trinkaus & Burkhard 11.500 6/27/2025 EUR 45.870 Bank Vontobel AG 25.000 7/22/2024 USD 19.300 HSBC Trinkaus & Burkhard 19.600 12/30/2024 EUR 29.630 HSBC Trinkaus & Burkhard 14.400 3/28/2025 EUR 33.320 HSBC Trinkaus & Burkhard 14.100 7/26/2024 EUR 36.780 HSBC Trinkaus & Burkhard 10.000 11/22/2024 EUR 44.980 UBS AG/London 17.500 2/7/2025 USD 14.420 HSBC Trinkaus & Burkhard 17.500 9/27/2024 EUR 37.050 HSBC Trinkaus & Burkhard 19.600 11/22/2024 EUR 31.110 HSBC Trinkaus & Burkhard 10.200 10/25/2024 EUR 44.400 HSBC Trinkaus & Burkhard 12.800 11/22/2024 EUR 40.470 Raiffeisen Switzerland B 12.300 8/21/2024 CHF 9.100 Bank Vontobel AG 10.000 8/19/2024 CHF 6.400 UBS AG/London 28.000 9/23/2024 USD 2.360 HSBC Trinkaus & Burkhard 11.200 12/30/2024 EUR 31.790 HSBC Trinkaus & Burkhard 14.100 12/30/2024 EUR 39.570 HSBC Trinkaus & Burkhard 13.400 6/27/2025 EUR 43.080 HSBC Trinkaus & Burkhard 17.400 12/30/2024 EUR 30.850 HSBC Trinkaus & Burkhard 19.000 3/28/2025 EUR 30.970 HSBC Trinkaus & Burkhard 16.300 3/28/2025 EUR 31.780 Bank Vontobel AG 18.000 7/19/2024 CHF 38.300 UBS AG/London 19.500 7/19/2024 CHF 38.500 EFG International Financ 11.120 12/27/2024 EUR 35.220 Teksid Aluminum Luxembou 12.375 7/15/2011 EUR 0.619 Phosphorus Holdco PLC 10.000 4/1/2019 GBP 1.316 Societe Generale SA 27.300 10/20/2025 USD 7.720 UBS AG/London 13.750 7/1/2024 CHF 32.550 Landesbank Baden-Wuertte 11.000 1/3/2025 EUR 28.280 Landesbank Baden-Wuertte 13.000 1/3/2025 EUR 26.530 Societe Generale SA 16.000 8/30/2024 USD 21.000 Societe Generale SA 15.000 8/30/2024 USD 18.000 Leonteq Securities AG/Gu 20.000 9/26/2024 USD 13.930 Corner Banca SA 18.500 9/23/2024 CHF 9.580 UkrLandFarming PLC 10.875 3/26/2018 USD 4.202 UBS AG/London 20.000 11/29/2024 USD 16.770 Virgolino de Oliveira Fi 11.750 2/9/2022 USD 0.638 Bank Vontobel AG 10.000 11/4/2024 EUR 48.200 Landesbank Baden-Wuertte 15.500 9/27/2024 EUR 31.960 Societe Generale SA 20.000 9/18/2026 USD 15.100 Societe Generale SA 11.750 9/18/2024 USD 48.700 Tonon Luxembourg SA 12.500 5/14/2024 USD 0.010 Bilt Paper BV 10.360 USD 0.551 Societe Generale SA 18.000 10/3/2024 USD 18.800 Societe Generale SA 20.000 10/3/2024 USD 32.000 Societe Generale SA 18.000 10/3/2024 USD 19.200 EFG International Financ 10.300 8/23/2024 USD 10.530 Credit Agricole Corporat 10.200 12/13/2027 TRY 47.542 Evocabank CJSC 11.000 9/27/2025 AMD 10.258 Ameriabank CJSC 10.000 2/20/2025 AMD 0.000 UniCredit Bank GmbH 13.000 11/22/2024 EUR 51.810 UniCredit Bank GmbH 13.900 8/23/2024 EUR 48.900 UniCredit Bank GmbH 12.600 8/23/2024 EUR 51.310 Deutsche Bank AG/London 12.780 3/16/2028 TRY 47.370 Armenian Economy Develop 11.000 10/3/2025 AMD 0.000 Zurcher Kantonalbank Fin 12.000 10/4/2024 EUR 50.570 Leonteq Securities AG/Gu 12.000 9/3/2024 EUR 47.900 UBS AG/London 14.500 10/14/2024 CHF 44.200 Leonteq Securities AG/Gu 13.000 10/21/2024 EUR 49.390 UBS AG/London 15.750 10/21/2024 CHF 46.750 UniCredit Bank GmbH 10.500 4/7/2026 EUR 45.180 DZ Bank AG Deutsche Zent 12.000 9/25/2024 EUR 49.150 Societe Generale SA 15.000 7/3/2024 USD 20.100 Landesbank Baden-Wuertte 11.500 9/27/2024 EUR 39.830 UniCredit Bank GmbH 11.000 8/23/2024 EUR 45.720 UniCredit Bank GmbH 10.700 2/17/2025 EUR 25.160 UniCredit Bank GmbH 10.100 8/23/2024 EUR 47.510 UniCredit Bank GmbH 10.800 8/23/2024 EUR 49.720 UniCredit Bank GmbH 10.700 2/3/2025 EUR 24.920 UBS AG/London 15.750 7/25/2024 EUR 46.950 Lehman Brothers Treasury 10.000 10/23/2008 USD 0.100 Lehman Brothers Treasury 10.000 10/22/2008 USD 0.100 Lehman Brothers Treasury 16.000 10/28/2008 USD 0.100 Lehman Brothers Treasury 16.200 5/14/2009 USD 0.100 Lehman Brothers Treasury 10.000 5/22/2009 USD 0.100 Lehman Brothers Treasury 15.000 6/4/2009 CHF 0.100 Lehman Brothers Treasury 17.000 6/2/2009 USD 0.100 Lehman Brothers Treasury 23.300 9/16/2008 USD 0.100 Lehman Brothers Treasury 11.000 7/4/2011 CHF 0.100 Lehman Brothers Treasury 16.000 12/26/2008 USD 0.100 Lehman Brothers Treasury 13.432 1/8/2009 ILS 0.100 Lehman Brothers Treasury 13.150 10/30/2008 USD 0.100 Lehman Brothers Treasury 16.800 8/21/2009 USD 0.100 Lehman Brothers Treasury 11.000 12/20/2017 AUD 0.100 Lehman Brothers Treasury 11.000 12/20/2017 AUD 0.100 Lehman Brothers Treasury 11.000 12/20/2017 AUD 0.100 Lehman Brothers Treasury 11.000 2/16/2009 CHF 0.100 Lehman Brothers Treasury 10.000 2/16/2009 CHF 0.100 Lehman Brothers Treasury 13.000 2/16/2009 CHF 0.100 Lehman Brothers Treasury 11.750 3/1/2010 EUR 0.100 Lehman Brothers Treasury 13.000 12/14/2012 USD 0.100 Lehman Brothers Treasury 12.000 7/13/2037 JPY 0.100 Finca Uco Cjsc 13.000 11/16/2024 AMD 0.000 Lehman Brothers Treasury 10.600 4/22/2014 MXN 0.100 Lehman Brothers Treasury 16.000 11/9/2008 USD 0.100 Lehman Brothers Treasury 10.442 11/22/2008 CHF 0.100 Lehman Brothers Treasury 13.500 6/2/2009 USD 0.100 Lehman Brothers Treasury 12.400 6/12/2009 USD 0.100 Lehman Brothers Treasury 10.000 6/17/2009 USD 0.100 Lehman Brothers Treasury 11.000 7/4/2011 USD 0.100 Lehman Brothers Treasury 12.000 7/4/2011 EUR 0.100 Lehman Brothers Treasury 14.100 11/12/2008 USD 0.100 Lehman Brothers Treasury 11.250 12/31/2008 USD 0.100 Lehman Brothers Treasury 10.000 6/11/2038 JPY 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 * * *