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250609.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, June 9, 2025, Vol. 26, No. 114 Headlines F R A N C E KERSIA INT'L: Moody's Affirms 'B3' CFR, Outlook Stable G E R M A N Y ECARAT DE SA 2025-1: DBRS Gives (P) B(high) Rating on F Notes REVOCAR 2023-1: DBRS Confirms BB(high) Rating on Class D Notes SC GERMANY 2024-1: DBRS Confirms BB(high) Rating on 2 Classes ZF FRIEDRICHSHAFEN: Moody's Alters Outlook on 'Ba2' CFR to Negative I R E L A N D BRIDGEPOINT CLO V: Fitch Affirms B-sf Rating on Class F Debt PALMER SQUARE 2023-2: Moody's Ups EUR16.3MM E-R Notes Rating to Ba2 SMALL BUSINESS 2025-1: DBRS Finalizes BB(high) Rating on C Notes I T A L Y IBLA SRL: DBRS Confirms CCC Rating on Class B Notes POP NPL 2019: DBRS Puts CCC(low) Rating on B Notes Under Review L U X E M B O U R G INCEPTION HOLDCO: Fitch Affirms 'B' LongTerm IDR, Outlook Stable WEBPROS INVESTMENTS: Fitch Affirms B+ LongTerm IDR, Outlook Stable N E T H E R L A N D S IPD 3: Fitch Affirms 'B' LongTerm IDR, Outlook Stable Q-PARK HOLDING: Moody's Rates EUR300MM Secured Notes 'Ba3' VINCENT MIDCO: Moody's Raises CFR to B2 & Alters Outlook to Stable P O R T U G A L ULISSES FINANCE 3: DBRS Confirms B Rating on Class E Notes R U S S I A TEREOS SCA: Fitch Alters Outlook on 'BB' LongTerm IDR to Stable S P A I N AMBER HOLDCO: Moody's Upgrades CFR to B1, Outlook Remains Stable AUTONORIA SPAIN 2025: DBRS Gives (P) BB(high) Rating on 2 Tranches BBVA CONSUMER 2025-1: DBRS Finalizes B Rating on Z Notes SANTANDER CONSUMO 6: DBRS Cuts Class E Notes Rating to B(low) SANTANDER CONSUMO 8: DBRS Finalizes B(low) Rating on E Notes S W E D E N NORDIC PAPER: Fitch Assigns B+(EXP) LongTerm IDR, Outlook Positive NORDIC PAPER: S&P Assigns Prelim. 'B' ICR, Outlook Stable U K R A I N E UKRAINE: S&P Affirms 'SD/SD' Foreign Curr. Sovereign Credit Ratings U N I T E D K I N G D O M ALDBROOK MORTGAGE 2025-1: DBRS Finalizes BB Rating on E Notes ASIMI FUNDING 2025-1: DBRS Finalizes B Rating on Class E Notes BLETCHLEY PARK 2025-1: DBRS Gives (P) CCC Rating on X2 Notes CASTELL PLC 2025-1: DBRS Finalizes BB Rating on Class E Notes DRYDRINKER LTD: Oury Clark Named as Administrators HERMITAGE 2025: DBRS Gives (P) BB(high) Rating on E Notes LONDON BRIDGE 2025-1: DBRS Gives Prov. B Rating on Class F Notes PIERPONT BTL 2025-1: DBRS Gives (P) BB(high) Rating on X Notes SAGE AR 2025-1: DBRS Finalizes BB(high) Rating on Class E Notes UK LOGISTICS 2024-1: DBRS Confirms BB Rating on Class E Notes - - - - - =========== F R A N C E =========== KERSIA INT'L: Moody's Affirms 'B3' CFR, Outlook Stable ------------------------------------------------------ Moody's Ratings affirmed Kersia International SAS' (Kersia or the company) B3 corporate family rating, B3-PD probability of default rating and the B3 instrument ratings on its senior secured bank credit facility. The outlook is stable. RATINGS RATIONALE The affirmation of Kersia's B3 rating reflects the company's strong operating performance as evidenced by maintaining its Moody's adjusted EBITDA margins at around 18% and moderately growing sales in the low single digits in 2024. This drove improvement in Kersia's Moody's adjusted debt/EBITDA ratio to about 6.7x at the end of March 25 pro forma for several recent acquisitions, in line with Moody's expectations for the B3 rating and down from 7.5x at year end 2023. Kersia closed the acquisition of a disinfectants company in Greece and entered into a strategic partnership in Mexico in Q1 2025 and agreed to buy cleaning and disinfectants assets of the US-listed group Neogen for a consideration of EUR114 million, expected to close in Q3 2025. Kersia announced it will fund the Neogen acquisition through an EUR100 million add-on to its term loan B and from cash on balance sheet (at about EUR80.6 million at the end of March 2025). Kersia's Moody's adjusted debt /EBITDA rose from about 6.0x at the end of 2024 to the higher end of Moody's expectations (below 7.0x Moody's adjusted debt/EBITDA) for the B3 rating as a consequence of its relatively aggressive buy and build strategy, including significant deferred considerations and earn out instruments, which Moody's adjust as debt. Its high leverage is balanced by its exposure to the stable market for biosecurity solutions for the food value chain in which it generates most of its revenue and its successful long standing track record to successfully integrate acquired companies. The rating also reflects the company's relatively small scale, mitigated by long-standing customer relationships and leading positions in its local markets. Outlook The stable outlook reflects Moody's expectations that Kersia will reduce its Moody's adjusted debt/EBITDA towards 6.0x over the next 12-18 months, following the successful closure and integration of the recent acquisitions. Furthermore the outlook incorporates Kersia addressing the maturity of its RCF (June 2027) and term loan B (December 2027) well in advance of coming due. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Moody's would consider upgrading Kersia's rating if leverage decreased to well below 6.0x and if the company would generate Moody's adjusted FCF/debt in mid-single digit percentages, both on a sustainable basis. An upgrade furthermore would require a more balanced approach towards capital allocation and acquisition financing. Moody's could consider downgrading Kersia's rating if leverage would increase above 7.0x or the company's liquidity profile would deteriorate as a result of negative FCF generation or acquisitions. A failure to maintain Moody's adjusted EBITDA / Interest expense above 2.0x and to finance the upcoming maturities one year ahead of coming due would result in negative pressure on the B3 rating. The principal methodology used in these ratings was Chemicals published in October 2023. COMPANY PROFILE Headquartered in France, Kersia International SAS is a leading biosecurity company for the food, farm and healthcare industries. The company's products are used in the farming (31% of 2024 sales), food and beverages (53%), food service (7%), and health care (3%) sectors. Kersia is owned by IK Partners, which acquired the company from Ardian in late 2020. ============= G E R M A N Y ============= ECARAT DE SA 2025-1: DBRS Gives (P) B(high) Rating on F Notes ------------------------------------------------------------- DBRS Ratings GmbH assigned provisional credit ratings to the following classes of notes (collectively, the Rated Notes) to be issued by ECARAT DE S.A. acting on behalf and for the account of its compartment lease 2025-1 (the Issuer): -- Class A Notes at (P) AAA (sf) -- Class B Notes at (P) AA (sf) -- Class C Notes at (P) A (sf) -- Class D Notes at (P) BBB (high) (sf) -- Class E Notes at (P) BB (high) (sf) -- Class F Notes at (P) B (high) (sf) Morningstar DBRS does not rate the Class G Notes (together with the Rated Notes, the Notes) also expected to be issued in the transaction. The provisional credit ratings on the Class A Notes 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 Notes, Class D Notes, Class E Notes and Class F Notes address the ultimate payment of scheduled interest (and timely when they are the most senior class of notes outstanding) and the ultimate repayment of principal by the final maturity date. The Issuer, which is a limited liability company incorporated under the laws of Luxemburg, acts as a special-purpose entity for issuing asset-backed securities. The Notes are backed by a portfolio of fixed-rate receivables related to German auto leases granted by Stellantis Bank S.A., German Branch (Stellantis Bank), which will also act as the servicer (the Servicer) for the transaction. The underlying portfolio comprises two distinct types of agreements, Kilometer (KM) Leases and Restwert (RW) Leases. KM leases expose the Issuer to market risk associated with the leases' estimated residual value (RV) at maturity. CREDIT RATING RATIONALE Morningstar DBRS based its provisional credit ratings on the following analytical considerations: -- The transaction's structure, including the form and sufficiency of the 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 provisional 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 structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions"; and -- Morningstar DBRS' sovereign credit rating on the Federal Republic of Germany, currently at AAA with a Stable trend. TRANSACTION STRUCTURE The transaction includes a twelve-month revolving period during which the Issuer will purchase additional collateral. During this period, the transaction will be subject to receivables eligibility criteria and concentration limits designed to limit the potential deterioration of the portfolio quality with which the Issuer will have to comply. The transaction incorporates a separate interest and principal waterfall that facilitates the distribution of the available distribution amount. The Notes amortize pro rata until a sequential redemption event occurs, at which point the amortization of the Notes becomes fully sequential. Sequential redemption events include, among others, the breach of performance-related triggers, a shortfall related to the liquidity reserve required amount, or the Seller not exercising the call option. The Seller will fund a cash reserve account equal to 1.3% of the Class A Notes to Class D Notes' initial balance on the closing date that will amortize to a level equal to 1.3% of the Class A Notes to D Notes' outstanding balance with a floor of 0.5% of the Class A Notes to Class D Notes' initial balance at closing. The reserve is only available to the Issuer in restricted scenarios where the interest and principal collections are not sufficient to cover 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 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 interest deferral triggers on the subordinated classes of Rated Notes, conditional on the PDL debit amounts and seniority of the Rated Notes. All underlying contracts are fixed rate, while the Rated Notes are indexed to one-month Euribor. Interest rate risk for the Notes is expected to be mitigated through interest rate swaps. COUNTERPARTIES BNP Paribas SA, Germany Branch (BNPP-DE) has been appointed as the Issuer's account bank for the transaction. Morningstar DBRS has a Long-Term Issuer Rating of AA (low) with a Stable trend on BNP Paribas SA (BNPP) and privately rates BNPP-DE. Morningstar DBRS concluded that BNPP-DE meets the criteria to act in such capacity. The transaction documents are expected to contain downgrade provisions relating to the account bank consistent with Morningstar DBRS' criteria. BNPP has been appointed as the swap counterparty for the transaction. Morningstar DBRS' public Long-Term Critical Obligations Rating on BNPP is AA (high) with a Stable trend, which meets the criteria to act in such capacity. The hedging documents are expected to contain downgrade provisions consistent with Morningstar DBRS' criteria. Morningstar DBRS' credit ratings 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 of the Rated Notes are the related interest and principal payments. Notes: All figures are in euros unless otherwise noted. REVOCAR 2023-1: DBRS Confirms BB(high) Rating on Class D Notes -------------------------------------------------------------- DBRS Ratings GmbH took the following credit rating actions on the rated notes issued by RevoCar 2023-1 UG (haftungsbeschrankt) (the Issuer): -- Class A Notes confirmed at AAA (sf) -- Class B Notes upgraded to AA (sf) from A (high) (sf) -- Class C Notes upgraded to A (sf) from BBB (high) (sf) -- Class D Notes confirmed at BB (high) (sf) The credit rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in April 2036. The credit rating on the Class B Notes addresses the timely payment of interest while the senior-most class outstanding, otherwise the ultimate payment of interest and principal on or before the legal final maturity date; and the credit ratings on the Class C Notes and Class D Notes address the ultimate payment of interest and principal on or before the legal final maturity date. CREDIT RATING RATIONALE The credit rating actions follow an annual review of the transaction and are based on the following analytical considerations: -- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the April 2025 payment date; -- Updated probability of default (PD), loss given default (LGD), and expected loss assumptions for the aggregate collateral pool; and -- Current available credit enhancement to the rated notes to cover the expected losses at their respective credit rating levels. The transaction is a securitization of German auto loan receivables originated and serviced by Bank11 für Privatkunden und Handel GmbH (Bank11) and granted primarily to private clients for the purchase of both new and used vehicles. The transaction closed in May 2023 with an initial portfolio of EUR 500.0 million. PORTFOLIO PERFORMANCE As of the March 2025 cut-off date, loans that were one to two months and two to three months in arrears represented 0.6% and 0.3% of the outstanding portfolio balance, respectively, while loans that were more than three months in arrears represented 1.3%. Gross cumulative defaults amounted to 0.9% of the aggregate initial collateral balance plus subsequent portfolios, with cumulative recoveries of 34.0% to date. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS Morningstar DBRS received updated historical vintage data from the originator and conducted a loan-by-loan analysis of the remaining pool of receivables. Morningstar DBRS updated its base case PD and LGD assumptions to 1.8% and 58.8%, respectively. CREDIT ENHANCEMENT The subordination of the respective junior obligations provides credit enhancement to the rated notes. As of the April 2025 payment date, credit enhancement to the Class A, Class B, Class C, and Class D Notes increased to 16.2%, 8.4%, 6.0%, and 3.0%, respectively, from 11.5%, 6.0%, 4.3%, and 2.3% as of April 2024 payment date, respectively. The transaction benefits from an amortizing liquidity reserve, available to cover senior fees and expenses, swap payments, and interest payments on the Class A Notes only. The reserve has a target balance equal to 1.0% of the outstanding collateral balance, subject to a floor of EUR 1.0 million. As of the April 2025 payment date, the reserve was at its target balance of EUR 2.7 million. Additionally, the transaction benefits from a commingling reserve funded by Bank11 at closing to EUR 5.0 million. The reserve is maintained at a balance equal to 1.0% of the of the outstanding collateral balance as long as the Class D Notes are outstanding. As of the April 2025 payment date, the reserve was at its target balance of EUR 2.7 million. BNP Paribas S.A., Niederlassung Frankfurt am Main (BNPP Frankfurt) acts as the account bank for the transaction. Based on Morningstar DBRS' private credit rating on BNPP Frankfurt, the downgrade provisions outlined in the transaction documents, and 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 ratings assigned to the notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. UniCredit Bank GmbH (UniCredit) acts as the swap counterparty. Morningstar DBRS' private credit rating on UniCredit is consistent with the first rating threshold as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Notes: All figures are in euros unless otherwise noted. SC GERMANY 2024-1: DBRS Confirms BB(high) Rating on 2 Classes ------------------------------------------------------------- DBRS Ratings GmbH confirmed its credit ratings on the notes (the Notes) issued by SC Germany S.A., acting on behalf and for the account of its Compartment Consumer 2024-1 (the Issuer) as follows: -- Class A Notes at AAA (sf) -- Class B Notes at AA (sf) -- Class C Notes at A (sf) -- Class D Notes at BBB (high) (sf) -- Class E Notes at BB (high) (sf) -- Class F Notes at BB (high) (sf) The credit rating of the Class A Notes addresses the timely payment of scheduled interest and the ultimate repayment of principal by the legal final maturity date. The credit ratings of the Class B Notes, the Class C Notes, the Class D Notes, and the Class E Notes address the ultimate payment of interest, the timely payment of interest when most senior, and the ultimate repayment of principal by the legal final maturity date. The credit rating of the Class F 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 actions described above are based on the following considerations: -- The portfolio performance, in terms of level of delinquencies, defaults, and losses as of April 2025 payment date; -- Probability of default (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables; and -- The current levels of credit enhancement available to the Notes to cover the expected losses at their respective credit rating levels. The transaction is a securitization collateralized by a portfolio of fixed-rate unsecured amortizing personal loans granted without a specific purpose to private individuals domiciled in Germany and serviced by Santander Consumer Bank AG (SCB; the originator, seller and servicer). The transaction closed in May 2024 with an initial portfolio of EUR 1.5bn and included an initial 7-month revolving period, which ended on the December 2024 payment date. The repayment of the Notes after the end of the revolving period is sequential until the Class A Notes credit enhancement reaches 23% (a pro rata payment trigger event), followed by a pro rata repayment between the Notes (excluding the Class F Notes) until a sequential payment trigger is breached. Upon the occurrence of a sequential payment trigger event, the repayment of the Notes will switch to be non-reversible sequential. The Class F Notes started amortizing immediately after the transaction closing in the interest priority of payments in 24 equal instalments. PORTFOLIO PERFORMANCE As of the April 2025 payment date, loans that were one to two and two to three months delinquent represented 0.5% of the portfolio balance, while loans that were more than three months delinquent represented 0.6%. Gross cumulative defaults amounted to 1.2% of the original portfolio balance, with no material cumulative recoveries 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 4.75% and 84.0%, respectively. CREDIT ENHANCEMENT The subordination of the respective junior notes and over-collateralization of the outstanding collateral portfolio provide credit enhancement. As of the April 2025 payment date, credit enhancements to the Class A, Class B, Class C, Class D, Class E and Class F Notes have increased since the issue date to 19.0%, 12.7%, 6.9%, 4.3%, 1.3% and 0.6% respectively, from 16.9%, 11.3%, 6.1%, 3.8%, 1.2% and 0.0%, respectively. The transaction allocates payments according to separate interest and principal priorities of payments and benefits from an amortizing liquidity reserve equal to 1.5% of the outstanding Notes balance, subject to a floor of 0.5% of the initial Notes amount. The liquidity reserve is part of available interest funds to cover shortfalls in senior expenses, senior swap payments, interest on the Class A Notes, and if not deferred, interest on other classes of the Notes. The liquidity reserve would be replenished in the interest waterfalls. As of April 2025 payment date, the liquidity reserve outstanding amount was at its target level of EUR 20.5 million. A commingling reserve is also available to the Issuer if the credit rating of Santander Consumer Finance S.A. falls below the required credit rating or Santander Consumer Finance S.A. ceases to have direct ownership of at least 50% of the originator. The required amount is equal to the sum of (A) 1.5 times the scheduled collections for the next month and (B) 1.875% of the outstanding portfolio balance as at the preceding payment date. Citibank Europe plc (German Branch) acts as the account bank for the transaction. Based on Morningstar DBRS' Long-Term Issuer Rating of AA (low) on Citibank Europe plc, the downgrade provisions outlined in the transaction documents, and other mitigating factors 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 and Derivative Criteria for European Structured Finance Transactions" methodology. DZ BANK AG Deutsche Zentral-Genossenschaftsbank, acts as the swap counterparty for the transaction. Morningstar DBRS' reference credit rating at AA (low) is consistent with the first rating threshold as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in euros unless otherwise noted. ZF FRIEDRICHSHAFEN: Moody's Alters Outlook on 'Ba2' CFR to Negative ------------------------------------------------------------------- Moody's Ratings has changed the outlook of Germany-based global automotive parts supplier ZF Friedrichshafen AG (ZF or the company) to negative from stable. Concurrently, Moody's affirmed ZF's long-term corporate family rating at Ba2, the probability of default rating at Ba2-PD, the senior unsecured bank credit facility at Ba2 and the senior unsecured MTN program rating of the company at (P)Ba2. The backed senior unsecured ratings of its subsidiaries ZF Europe Finance B.V., ZF Finance GmbH and ZF North America Capital, Inc. were also affirmed at Ba2. "The outlook revision to negative reflects ZF's high financial leverage and the company's ongoing challenges in improving profitability and reducing leverage amid a very weak operating environment. This environment is impacted by trade tariffs—particularly in the U.S.—loss of market share of some of ZF's key clients, and the broader transformational challenges facing the company", says Matthias Heck, a Moody's Ratings Vice President – Senior Credit Officer and Lead Analyst for ZF. "The affirmation reflects Moody's expectations that metrics will gradually improve due to efficiency measures and improve towards the minimum level of Moody's quantitative expectations for the Ba2 at the end of 2026, while keeping good levels of liquidity", adds Mr. Heck. RATINGS RATIONALE The negative outlook reflects the ongoing challenging macroeconomic and automotive sector environment. On May 05, 2025, Moody's revised Moody's macroeconomic forecasts to a GDP growth of just 1.9% for this year and 2.3% for 2026, compared to Moody's previous expectations of 2.5% each. This already considers tariff increases globally, and policy uncertainty adds further risks to Moody's forecasts. In this environment, Moody's expects only a stagnation of global light vehicle production this year, which further risks to the downside. The automotive industry is particularly exposed to global trade tensions and import tariffs, including those into the US. In 2024, ZF generated around 27% of its group revenues in North America, which is a relatively high exposure, following the acquisitions of TRW (in 2015) and Wabco (in 2020). Moody's expects, however, that ZF's direct exposure to tariffs is relatively small and manageable, given the company's local-for-local approach in the region, and its supplies mostly to automaker facilities in the same country. However, the larger and hardly predictable exposure is on indirect effects, specifically on potentially lower production volumes in North America but also Europe, in a scenario of automakers passing on at least some of the tariffs expenses, resulting in lower consumer demand for vehicles. In 2024, ZF's metrics already suffered from a combination of muted volumes and high cost for restructuring measures. Some of ZF's largest automaker customers are currently lagging behind volume expectations, as these are losing market share in their respective end markets, especially in North America and China. ZF's company-adjusted EBIT margin therefore reached only 3.6%, corresponding with a Moody's adjusted EBIT margin (which is after restructuring cost) of only 0.5% in 2024. For this year, ZF expect a company-adjusted EBIT margin of 3.0%-4.0%. Considering a meaningful decline in restructuring expenses, Moody's expects some improvement in Moody's adjusted EBIT margins, which should, however, remain below 2% this year. It will also be challenging to reach Moody's minimum expectations of 3% for the Ba2 next year. ZF's leverage will also remain high for the Ba2 rating category within the next 12-18 months. In 2024, Moody's adjusted debt/EBITDA was 7.0x, well above Moody's maximum of 4.25x for the Ba2. Including expected repayments of more than EUR2 billion of debt, which were already pre-financed last year, Moody's expects the company's debt/EBITDA to improve to around 5x by the end of this year. By the end of 2026, Moody's expects another improvement towards 4x, but this will hinge on high cost and capex discipline and continued positive free cash flow generation. ZF's Ba2 rating is supported by the company's leading market position as one of the largest tier 1 global automotive suppliers, combined with its sizeable industry-facing operations, and regional and customer diversification; clear focus on innovation and new product development; positive strategic alignment to address the disruptive trends of automotive electrification and autonomous driving; relatively conservative financial policy; and good liquidity. However, ZF's ratings also reflect the company's still high leverage, with debt/EBITDA (Moody's adjusted) of 7x at the end of December 2024; its modest operating profitability, with a Moody's adjusted EBIT margin of just 0.5% in 2024; ZF's continued high capital and R&D spending, reflecting the group's focus on innovation; and the exposure to the global automotive industry, which is cyclical, highly competitive and subject to global trade tensions. The rating factors in Moody's expectations of gradual leverage improvements, which could be supported by asset disposals. LIQUIDITY ZF has good liquidity over the next 12 months. As of December 2024, the company had EUR4.7 billion in cash and cash equivalents (including short-term financial investments), and EUR3.5 billion available under its revolving credit facility (RCF) agreements. Moody's expects ZF to generate FFO of around EUR2.5 billion over the next 12 months, which will bring its total liquidity sources to around EUR10 billion. These expected liquidity sources will be sufficient to cover cash uses of around EUR6 billion, comprising short-term debt maturities of around EUR2.6 billion; estimated capital spending of around EUR2.2 billion; an estimated dividends (including minorities) of around EUR200 million; and working cash needs of EUR1.2 billion. The RCF is due in 2029 and includes a financial covenant of 3.25x company-defined net leverage (3.27x at the end of 2024), which has been temporarily increased to up to 4.0x for 2025, declining gradually to the original level as of September 30, 2026. Moody's expects ZF to retain sufficient headroom versus the covenant level. Moody's also expects that ZF will manage to retain comfortable headroom under its financial covenants. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The ratings could be downgraded in case of a more severe and prolonged downturn of the automotive industry or if ZF's efficiency measures proved to be insufficient to strengthen the company's credit metrics. More specifically, Moody's might downgrade the rating if the company's (1) EBIT margin remains below 3%, (2) debt/EBITDA remains above 4.25x on a sustained basis, (3) retained cash flow (RCF)/net debt declines below mid teen percentage level or (4) FCF is less than EUR250 million a year. A rating upgrade would be conditional on ZF achieving (1) an improvement in its EBIT margin towards5% (Moody's adjusted), (2) a reduction in its leverage, as reflected by debt/EBITDA below 3.5x (Moody's adjusted), (3) retained cash flow (RCF)/net debt above 20% on a sustained basis, and (4) FCF above EUR500 million a year. LIST OF AFFECTED RATINGS Issuer: ZF Friedrichshafen AG Affirmations: LT Corporate Family Rating, Affirmed Ba2 Probability of Default Rating, Affirmed Ba2-PD Senior Unsecured Bank Credit Facility (Local Currency), Affirmed Ba2 Senior Unsecured Medium-Term Note Program (Local Currency), Affirmed (P)Ba2 Outlook Actions: Outlook, Changed To Negative From Stable Issuer: ZF Europe Finance B.V. Affirmations: Backed Senior Unsecured Medium-Term Note Program (Local Currency), Affirmed (P)Ba2 Backed Senior Unsecured (Local Currency), Affirmed Ba2 Outlook Actions: Outlook, Changed To Negative From Stable Issuer: ZF Finance GmbH Affirmations: Backed Senior Unsecured Medium-Term Note Program (Local Currency), Affirmed (P)Ba2 Backed Senior Unsecured (Local Currency), Affirmed Ba2 Outlook Actions: Outlook, Changed To Negative From Stable Issuer: ZF North America Capital, Inc. Affirmations: Backed Senior Unsecured (Local Currency), Affirmed Ba2 Outlook Actions: Outlook, Changed To Negative From Stable PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Automotive Suppliers published in December 2024. COMPANY PROFILE ZF Friedrichshafen AG (ZF), headquartered in Friedrichshafen, Germany, is a leading global automotive technology company specialized in driveline and chassis technology, and active and passive safety technology. The company generates most of its revenue from the passenger car and commercial vehicle industries but delivers to other markets as well, including the construction, wind-power and agricultural machinery sector. ZF is one of the largest automotive suppliers on a global scale, with revenue of EUR41.4 billion during 2024. ============= I R E L A N D ============= BRIDGEPOINT CLO V: Fitch Affirms B-sf Rating on Class F Debt ------------------------------------------------------------ Fitch Ratings has revised Bridgepoint CLO V DAC class F notes' Outlook to Negative from Stable and affirmed the ratings of all classes of notes. The Outlooks on the class A to E notes are Stable. Entity/Debt Rating Prior ----------- ------ ----- BridgePoint CLO V DAC A XS2661932892 LT AAAsf Affirmed AAAsf B-1 XS2661934245 LT AAsf Affirmed AAsf B-2 XS2661939715 LT AAsf Affirmed AAsf C XS2661944715 LT Asf Affirmed Asf D XS2661945100 LT BBB-sf Affirmed BBB-sf E XS2661946090 LT BB-sf Affirmed BB-sf F XS2661946173 LT B-sf Affirmed B-sf Transaction Summary Bridgepoint CLO V 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. The transaction is actively managed by Bridgepoint Credit Management Limited. The collateralised loan obligation (CLO) is in its reinvestment period, scheduled to end in April 2028. KEY RATING DRIVERS Portfolio Credit Quality Deterioration: The transaction has experienced some further par losses since the review in July 2024 and is currently 0.3% below par (calculated as the current par difference over the original target par). This deterioration in the credit quality of the portfolio resulted in the Outlook change to Negative for class F notes. The portfolio has no defaulted assets, but has EUR8 million (or 2% of the portfolio) of Fitch 'CCC' obligations. 'B'/'B-' Portfolio: Fitch assesses the average credit quality of obligors at 'B'/'B-'. The Fitch-calculated weighted average rating factor of the identified portfolio is 25.3. Strong Recovery Expectation: Close to 98% of the current 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-calculated weighted average recovery rate of the identified portfolio is 60.8%. Diversified Portfolio: The portfolio is diversified across obligors, countries and industries. The top-10 obligor concentration is 13.1%, as calculated by Fitch, and no single obligor represents more than 1.5% of the portfolio balance. Exposure to the three-largest Fitch-defined industries is 35.3%, as calculated by the trustee. The fixed-rate assets constitute 7.5% of the portfolio, which is in line with the current limit. Limited Refinancing Risk: The notes have negligible near- and medium-term refinancing risk, with no asset in the portfolio maturing in 2025, and only 0.4% maturing in 2026, as calculated by Fitch. Transaction Within Reinvestment Period: The transaction is within its reinvestment period until April 2028. In addition, after the reinvestment period, the manager can continue to reinvest unscheduled principal proceeds and sale proceeds from credit-impaired obligations and credit-improved obligations, subject to compliance with the reinvestment criteria. Given the manager's ability to reinvest, Fitch's analysis is based on a portfolio where the transaction covenants have been stressed to their limits. 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 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 BridgePoint CLO V 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 any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. PALMER SQUARE 2023-2: Moody's Ups EUR16.3MM E-R Notes Rating to Ba2 ------------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by Palmer Square European Loan Funding 2023-2 Designated Activity Company: EUR31,700,000 Class B-R Senior Secured Floating Rate Notes due 2033, Upgraded to Aaa (sf); previously on Aug 27, 2024 Assigned Aa1 (sf) EUR17,700,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2033, Upgraded to Aa1 (sf); previously on Aug 27, 2024 Assigned A2 (sf) EUR17,200,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2033, Upgraded to A3 (sf); previously on Aug 27, 2024 Assigned Baa3 (sf) EUR16,300,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2033, Upgraded to Ba2 (sf); previously on Aug 27, 2024 Assigned Ba3 (sf) Moody's have also affirmed the ratings on the following notes: EUR185,862,526 (Current outstanding amount EUR116,868,435) Class A-R Senior Secured Floating Rate Notes due 2033, Affirmed Aaa (sf); previously on Aug 27, 2024 Assigned Aaa (sf) Palmer Square European Loan Funding 2023-2 Designated Activity Company, originally issued in August 2023 and later refinanced in August 2024, is a static collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured European loans. The portfolio is serviced by Palmer Square Europe Capital Management LLC. The servicer may sell assets on behalf of the Issuer during the life of the transaction. Reinvestment is not permitted and all sales and unscheduled principal proceeds received will be used to amortize the notes in sequential order. RATINGS RATIONALE The rating upgrades on the Class B-R, C-R, D-R and E-R notes are primarily a result of the deleveraging of the Class A-R notes following amortisation of the underlying portfolio since the last rating action in August 2024. The affirmations on the ratings on the Class A-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-R notes have paid down by approximately EUR69.0 million (37.1% of original balance) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated May 2025[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 153.16%, 136.85%, 124.02% and 113.90% compared to September 2024[2] levels of 136.33%, 126.07%, 117.48% and 110.36%, respectively. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: EUR227.5m Defaulted Securities: 0 Diversity Score: 47 Weighted Average Rating Factor (WARF): 2933 Weighted Average Life (WAL): 3.53 years Weighted Average Spread (WAS): 3.82% Weighted Average Coupon (WAC): 4.14% Weighted Average Recovery Rate (WARR): 43.89% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, such as the account bank, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the servicer or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the servicers's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. SMALL BUSINESS 2025-1: DBRS Finalizes BB(high) Rating on C Notes ---------------------------------------------------------------- DBRS Ratings Limited finalized its provisional credit ratings on the notes issued by Small Business Origination Loan Trust 2025-1 DAC (the Issuer): -- Class B Notes BBB (high) (sf) -- Class C Notes BB (high) (sf) (the Class B Notes and the Class C Notes, together the Rated Notes). The credit ratings assigned to the Class B Notes and the Class C Notes differ from the provisional credit ratings previously assigned, due to the improved credit quality of the securitized portfolio, which resulted in lower default rate assumptions and improved the results of the analysis conducted by Morningstar DBRS. The credit ratings on the Rated Notes addresses ultimate payment of interest, but the timely payment of scheduled interest when they are the most senior class of notes, and ultimate repayment of principal on or before the legal final maturity date (in December 2036). The Issuer has also issued the Class A Loan Note, the Class Z Notes and the Class R Notes, which Morningstar DBRS does not rate. The transaction is a cash flow securitization of a portfolio of largely unsecured loans originated through the Funding Circle Ltd. (Funding Circle) lending platform to UK-based small and medium sized enterprises (SMEs) and sole traders. CREDIT RATING RATIONALE Morningstar DBRS determined its credit ratings based on the principal methodology and the following considerations: -- The nature of the portfolio, which will be static and consists of unsecured loans with a maximum maturity of six years. All loans are amortizing on a monthly basis following a French amortization profile, contributing to a short weighted-average life (WAL) of 2.33 years. -- The transaction capital structure's features, that provides for a pro rata amortization until certain sequential switch events occur. -- The transaction benefits from an interest rate swap which limits the interest rate risk between the floating-rate notes and the portfolio comprised solely of fixed-rate loans. -- The transaction benefits from a back-up servicer which reduces servicer continuity risk. -- The portfolio benefits from significant excess spread which can be used to cure any principal shortfalls via a principal deficiency ledger mechanism. The portfolio's weighted average interest rate stood at 15.2%. TRANSACTION STRUCTURE The transaction is static and there is no requirement for the Issuer to purchase new assets or to replace any asset comprised in the securitized portfolio. The transaction will amortize pro rata until certain sequential switch events occur. Thereafter the amortization will be sequential. Before the occurrence of an enforcement event, the transaction allocates collections in separate interest and principal priorities of payments. Upon the occurrence of an enforcement event, there will be one priority of payments for both principal and interest. The transaction incorporates two reserves funded at closing. The cash reserve provides both liquidity and credit support in accordance with the applicable priority of payments and will amortize in line with the outstanding principal balance of the Notes. The liquidity reserve will be available to cover any interest shortfalls on the most senior class of Notes outstanding from time to time. Morningstar DBRS considers the interest rate risk for the transaction to be limited as an interest rate swap is in place to reduce the mismatch between the fixed-rate collateral and the Rated Notes. PORTFOLIO ASSUMPTIONS The portfolio consists of 5,458 loans granted to 5,375 borrowers. The average outstanding principal balance is GBP 73,281 and the maximum individual borrower concentration is 0.15% of the portfolio. The top 5 and 10 obligors represent 0.68% and 1.31% of the portfolio balance, respectively. The top three regions for borrower concentration are South-East, Midlands and London, representing 24.4%, 15.6% and 15.1% of the portfolio balance, respectively. The historical data provided by Funding Circle reflects the portfolio composition which includes unsecured loans for which Funding Circle internally categorizes borrowers into seven risk bands (A+, A, A2, B, B2, C and D). For the purpose of its analysis, Morningstar DBRS calculated the Probability of Defaults (PDs) for each risk band in order to capture any negative or positive pool selection. The assumed PDs for A+, A (including A2), B (including B2), C and D risk bands are 1.49%, 2.70%, 4.80%, 7.08% and 9.34%. The final portfolio did not contain loans that were subject to forbearance measures. 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. Notes: All figures are in British pound sterling unless otherwise noted. ========= I T A L Y ========= IBLA SRL: DBRS Confirms CCC Rating on Class B Notes --------------------------------------------------- DBRS Ratings GmbH took the following credit rating actions on the notes issued by Ibla S.r.l. (the Issuer): -- Class A notes upgraded to A (low) (sf) from BBB (high) (sf) -- Class B notes confirmed at CCC (sf) Morningstar DBRS changed the trend on the Class B notes to Negative from Stable, while 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 348.6 million portfolio by gross book value consisting of a mixed pool of Italian nonperforming residential, commercial, and unsecured loans originated by Banca Agricola Popolare di Ragusa S.C.p.A. doValue S.p.A. (doValue or the Special Servicer) services the receivables. doNext S.p.A. acts as the master servicer, while Banca Finint S.p.A. (formerly Securitization Services S.p.A.) operates as the backup servicer. CREDIT RATING RATIONALE The credit rating actions follow Morningstar DBRS' review of the transaction and are based on the following analytical considerations: -- Transaction performance: An assessment of portfolio recoveries as of March 2025 focusing on (1) a comparison between actual collections and the Special Servicer's initial business plan forecast, (2) the collection performance observed over recent months, and (3) a comparison between the current performance and Morningstar DBRS' expectations. -- Updated business plan: The Special Servicer's updated business plan as of December 2024, received in April 2025, and the comparison with the initial collection expectations. -- Portfolio characteristics: Loan pool composition as of March 2025 and the evolution of its core features since issuance. -- Transaction liquidating structure: The order of priority, which 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 collection ratio (CCR) or present value cumulative profitability ratio (PV ratio) is lower than 85%. The CCR trigger has been breached since the April 2021 interest payment date (IPD). The actual figures for the CCR and PV ratio were at 63.9% and 125.0% as of the April 2025 IPD, respectively, according to the Special Servicer. -- Liquidity support: The transaction benefits from an amortizing cash reserve providing liquidity to the structure and covering potential interest shortfall on the Class A notes and senior fees. The cash reserve target amount is equal to 7.5% of the Class A notes' principal outstanding balance, and the recovery expenses cash reserve target amounts to EUR 400,000, both fully funded. TRANSACTION AND PERFORMANCE According to the latest investor report from April 2025, the outstanding principal amounts of the Class A, Class B, and Class J notes were EUR 13.4 million, EUR 9.0 million, and EUR 3.5 million, respectively. As of April 2025, the balance of the Class A notes had amortized by 84.2% since issuance, and the current aggregated transaction balance was EUR 25.9 million. As of March 2025, the transaction was performing below the Special Servicer's business plan expectations. The actual cumulative gross collections equalled EUR 102.6 million, whereas the Special Servicer's initial business plan estimated cumulative gross collections of EUR 157.6 million for the same period. Therefore, as of March 2025, the transaction was underperforming by EUR 55.1 million (34.9%) compared with the initial business plan expectations. At issuance, Morningstar DBRS estimated cumulative gross collections for the same period of EUR 44.3 million at the BBB (low) (sf) stress scenario. Therefore, as of March 2025, the transaction was performing above Morningstar DBRS' initial BBB (low) (sf) scenario. Pursuant to the requirements set out in the receivable servicing agreement, in April 2025, the Special Servicer delivered an updated portfolio business plan. The updated portfolio business plan, combined with the actual cumulative gross collections of EUR 100.3 million as of December 2024, resulted in a total of EUR 139.4 million. This is 16.4% lower than the total gross disposition proceeds of EUR 166.8 million estimated in the initial business plan. Excluding actual collections as of March 2025, the Special Servicer's expected future collections from April 2025 amount to EUR 36.9 million. The updated Morningstar DBRS credit rating stress assumes a haircut of 24.0% at the A (low) (sf) stress scenarios to the Special Servicer's updated business plan, considering future expected collections from April 2025. In Morningstar DBRS' CCC (sf) scenario, the updated forecast was adjusted only in terms of actual collections to the date and timing of future expected collections. Considering the substantial redemption of Class A notes and the increased subordination, Morningstar DBRS upgraded the credit rating on the Class A notes to A (low) (sf) from BBB (high) (sf). Although the Class A notes may now pass higher credit rating stresses in the cash flow analysis, Morningstar DBRS believes that higher credit ratings would not be commensurate with the transaction's risk considering the potential higher variability of nonperforming loans' cash flows and the exposure to the transaction account bank, considering the downgrade provisions outlined in the transaction documents. Morningstar DBRS observes a reduced likelihood that the Class B notes' obligations will be fully met at maturity. The interest on the Class B notes accumulates over time until the Class A notes are fully redeemed. As of April 2025, EUR 4.0 million unpaid interest on the Class B notes had accrued. In addition, the reduction of the Special Servicer's total expected collections leaves a lower cushion for the full payment of the Class B notes' principal and interest. Therefore, Morningstar DBRS changed the trend on the Class B notes to Negative from Stable. The transaction's final maturity date is April 30, 2037. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in euros unless otherwise noted. POP NPL 2019: DBRS Puts CCC(low) Rating on B Notes Under Review --------------------------------------------------------------- DBRS Ratings GmbH placed the Class A Notes and the Class B Notes issued by POP NPLs 2019 S.r.l. (the Issuer) Under Review with Negative Implications. -- Class B Notes CCC(low)(sf) UR-Neg. 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 payment of principal on or before the legal final maturity date and 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. As of the January 1, 2019 cut-off date, the Notes were backed by a EUR 826.7 million portfolio consisting of secured and unsecured Italian nonperforming loans sold to the Issuer by 12 Italian banks. Prelios Credit Solutions S.p.A. (Prelios) and Fire S.p.A. (Fire; together with Prelios, the Servicers) service the receivables. Prelios Credit Servicing S.p.A. acts as the master servicer and Banca Finanziaria Internazionale S.p.A. (Banca Finint) operates as the 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 December 2024, focusing on: (1) a comparison between actual collections and the 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. -- Portfolio characteristics: The loan pool composition as of December 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 is lower than 90%. These triggers were not breached on the February 2025 interest payment date, with the actual figures at 99.8% and 118.7%, respectively, according to the 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 4.5% of the Class A Notes' outstanding balance and is currently fully funded. TRANSACTION AND PERFORMANCE According to the latest investor report from February 2025, the outstanding principal amounts of the Class A Notes, Class B Notes, and Class J Notes were EUR 67.6 million, EUR 25.0 million, and EUR 5.0 million, respectively. As of the February 2025 payment date, the balance of the Class A Notes had amortized by approximately 60.9% since issuance and the current aggregated transaction balance was EUR 97.6 million. As of December 2024, the transaction was performing above the Servicers' business plan gross expectations. The actual cumulative gross collections equalled EUR 157.6 million, whereas the Servicers' initial business plan estimated cumulative gross collections of EUR 145.9 million for the same period. Therefore, as of December 2024, the transaction was overperforming by EUR 11.7 million (8.0%) compared with the initial business plan gross expectations. As of the December 2023 collection date, actual cumulative gross collections were 28.8% higher than the Servicers' initial expectations; therefore, as of December 2024, the overperformance has decreased by about 20.8%. Furthermore, recovery expenses and servicing costs have been proportionally higher compared to the expectations at issuance. Therefore first- and second-level cumulative actual collections as of December 2024 are 0.5% and 2.7% lower than the Servicers' initial expectations, respectively. At issuance, Morningstar DBRS estimated cumulative gross collections of EUR 97.9 million at the BBB (sf) stressed scenario for the same period and EUR 107.9 million at the CCC (sf) stressed scenario. Therefore, as of December 2024, the transaction was performing above Morningstar DBRS' initial stressed expectations. Pursuant to the requirements set out in the receivable servicing agreement, the Servicers are required to provide, on a yearly basis, a revised business plan combined with the actual cumulative collections as of December of the previous year. An updated portfolio business plan for the current year has not been provided yet. Considering the deterioration of the performance of the transaction as of December 2024 and the higher-than-expected recovery costs, a decrease in future cash flow projections could result in a downgrade of the credit ratings of the Class A Notes and Class B Notes. The final maturity date of the transaction is in February 2045. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in euros unless otherwise noted. =================== L U X E M B O U R G =================== INCEPTION HOLDCO: Fitch Affirms 'B' LongTerm IDR, Outlook Stable ---------------------------------------------------------------- Fitch Ratings has affirmed Inception Holdco S.a.r.l.'s (Inception; trading as IVIRMA) senior secured 'B+' rating with a Recovery Rating of 'RR3', following its proposed USD150 million-equivalent tap. The tap - to be issued by Inception Finco S.à.r.l and IVI America, LLC - will be used to partially finance the planned acquisition of a 60% stake in ART Fertility clinics in the UAE. Fitch sees no scope for increases of prior-ranking debt, as the post-transaction debt structure would exhaust all headroom under its 'RR3' recovery band. Fitch has affirmed Inception's Long-Term Issuer Default Rating (IDR) at 'B' with a Stable Outlook, which remains constrained by anticipated high EBITDAR leverage at 6.3x in 2025, compared with 6.2x in 2024, as a result of the planned acquisition. Rating strengths are Inception's global leadership in the assisted reproduction technique (ART) market and healthy profitability. The Stable Outlook reflects its view that Inception will continue its stable operating performance and generate positive free cash flow (FCF). Key Rating Drivers Increased Geographic Diversification: Inception is issuing the tap on its existing term loan Bs (TLB) to finance the planned acquisition of a 60% stake in ART Fertility, an IVF (in-vitro fertilisation) provider in the Middle East. Fitch expects growing contributions from the acquired business, driven by volume expansion in a fast-growing market and a supportive, but still developing, regulatory environment. Financial Policy Drives Ratings: The partially debt-funded planned acquisition will raise leverage to 6.3x in 2025, although Fitch anticipates the metric to fall below 6.0x in 2026 and below, thereafter, on stable performance of the existing business and integration of the new business, which Fitch expects to grow through 2028. Fitch expects the company to follow a prudent M&A funding policy and, potentially, receive shareholder support for larger acquisitions for its 'buy-and-build' strategy. Execution Risk to Moderate: Fitch views Inception's execution risk as moderate, given the absence of further large acquisitions, following the integration of GeneraLife and the consolidation of Eugin US. The integration of ART Fertility should be manageable given the smaller size of the business. Synergies in integrated supplies, procurement, centralised marketing and other functions from these acquisitions mitigate inflationary pressure on the combined global business. Some integration costs remain, but Fitch sees the process as more manageable through to 2028. Healthy Profitability: Inception's high vertical integration across its value chain provides a competitive advantage over peers that rely more on outsourcing, resulting in stronger gross and EBITDA margins. Fitch expects profitability to increase towards 24% by 2028, driven by the improved operating leverage of the combined business and contributions from new clinic openings. Strong Underlying FCF: Inception has strong cash flow generation that benefits from its healthy EBITDA margin, the sector's inherent negative working-capital pattern and reduction in interest expense after repricing. Fitch expects its FCF margin to strengthen towards the mid-single digits from 2025, following lower non-recurring outflows related to its transformative acquisitions. However, part of its FCF is likely to be reinvested in greenfield projects or bolt-on M&A. Continuously weak or negative FCF would pressure the rating. Global ART Market Leader: Inception is the world's largest fertility platform, following its combination of IVIRMA, GeneraLife and the Eugin US, with an increased presence in the US. The latter is now the single most important market for the company. It benefits from a vast and established clinical network with high entry barriers. Its comprehensive fertility treatment services, which are provided in uniformly equipped clinics, its targeted high-end market and above-peer average success rates. Resilient Business Model: Inception has shown resilient performance during recessions, with temporary volatility during the Covid-19 lockdowns due to travel disruption affecting international patients. Its vertically integrated business helps to secure diverse supply from its gamete bank, which is one of the world's largest. Above industry-average success rates are supported by Inception's in-house genetic-testing capabilities, driven by robust R&D expertise, which further strengthens its resilient business model. Favourable Industry Trends: Fitch believes Inception can expand organically at pace with or faster than the market's. This is supported by rising ART demand, driven by socio-demographic and medical factors that are increasingly preventing natural conception. However, Fitch believes that demand growth varies by geography and its underlying regulatory framework. Supportive Regulation: Fitch views the regulatory environment as supportive in most of Inception's operating markets, but Fitch continues to treat potential implementation of more restrictive regulation in any markets of operations as an event risk. A diverse geographic footprint partly mitigates this risk. Peer Analysis Fitch rates Inception at the same level as French hospital operator, Almaviva Developpement (B/Stable), and Finnish social care and private healthcare provider, Mehilainen Yhtyma Oy (B/Stable), and one notch higher than Median B.V. (B-/Stable), a pan-European healthcare operator focused on rehabilitation and mental health. All three peers have similar operating characteristics in stable patient demand and some ability to raise prices, subject to regulations. Fitch also compares Inception with lab-testing companies in light of its genetic-testing capabilities. These companies include Ephios Subco 3 S.a.r.l. (B/Stable), Inovie Group (B/Stable), and Laboratoire Eimer Selas (B/Negative). Lab- testing companies tolerate higher leverage for their ratings, due to strong operating and cash flow margins alongside non-cyclical revenue, and high earnings visibility amid sector regulation, large scale, and a wide geographic footprint. Key Assumptions Fitch's Key Assumptions Within Its Rating Case for the Issuer - Revenue growth of 11%-13% in 2025-2026, driven by the integration of ART operations and high single-digit organic growth. Revenue growth should remain in the high single digits through 2028. - EBITDA margin close to 22% in 2025, increasing towards 24% by 2028 on realised cost efficiencies, pricing initiatives, and the integration of margin-accretive ART operations. Lease expenses to grow in line with revenues. - Slightly negative working-capital changes as a percentage of sales. - Capex at 4%-4.5% of sales through 2028. - Cash outflow from non-operating activities mainly comprising one-off costs related to integration in the amount of about EUR40 million during 2025-20 28. - Revolving credit facility (RCF) slightly drawn over the medium term to support working-capital requirements and M&A. Recovery Analysis - The recovery analysis assumed Inception would remain a going concern (GC) in a restructuring and would be reorganised rather than liquidated. - Fitch assumed a 10% administrative claim. - Fitch assumed a GC EBITDA of EUR175 million from which Fitch calculates the distressed enterprise value. Fitch has increased the GC EBITDA from EUR160 million in its previous review due to the planned acquisition and expected associated synergies. - Fitch assumed a distressed multiple of 6.0x, reflecting Inception's leadership in a niche market with attractive growth and demand fundamentals, geographic diversification, and the benefits of a vertically integrated business model. - Fitch assumed the EUR239 million RCF would be fully drawn before default, ranking equally with the EUR1.14 billion-equivalent TLB. Fitch also includes in the recovery analysis local facilities issued by certain opcos, which Fitch views as structurally senior to Inception's secured senior debt. - Its waterfall analysis generated a ranked recovery for senior creditors in the 'RR3' band, indicating a 'B+' rating for the senior secured facilities, one notch up from the IDR. There is no headroom on any further increase of priority-ranking local facilities debt, unless it is sufficiently offset by accompanying growth of the business. A further increase in prior-ranking debt or revaluation of debt from adverse currency movements will result in the downgrade of the instrument rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Weakening credit profile due to reputational damage, adverse changes, or the prospect of such changes, to the regulatory framework, or higher execution risk from business integration or strategy implementation - EBITDAR leverage remaining above 7.0x due to weaker trading or aggressively debt-funded opportunistic M&As - Inability to improve FCF margin to the low single digits due to weaker operating performance or an aggressive capex policy on greenfield expansion - EBITDAR fixed-charge coverage remaining below 2.0x Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Successful execution of the medium-term strategy, with accretive acquisitions leading to an increased scale exceeding its rating case, and an EBITDA margin at or above 30% on a sustained basis - A continued favourable regulatory environment and positive market demographics supporting the company's business model and competitive advantage - EBITDAR leverage below 5.5x on a sustained basis - FCF margin in the mid-to-high single digits on sustained basis - EBITDAR fixed-charge coverage sustained above 3.0x Liquidity and Debt Structure Fitch estimates Inception to have had EUR136 million of cash on balance and EUR11 million drawn from its EUR234 million RCF plus EUR5 million remaining available from the original RCF at end-1Q25. Fitch expects consistently positive FCF to 2028, with FCF margins above 5% from 2026 onwards. Its forecast assumes an aggregate of about EUR210 million in acquisitions and earn-out payments in 2026-2028, alongside the dividends to its clinics platform. Its assessment is supported by debt maturities in October 2030 for the RCF and in April 2031 for the TLBs, leading to moderate refinancing risk. Issuer Profile Spanish-based IVIRMA is the world's largest fertility platform with more than 190 clinics across 15 countries in Europe and the Americas. 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 ----------- ------ -------- Inception Holdco S.a.r.l. LT IDR B Affirmed IVI America, LLC senior secured LT B+ Affirmed RR3 Inception Finco S.a.r.l. senior secured LT B+ Affirmed RR3 WEBPROS INVESTMENTS: Fitch Affirms B+ LongTerm IDR, Outlook Stable ------------------------------------------------------------------ Fitch Ratings has affirmed Webpros' Long-Term Issuer Default Rating (IDR) at 'B+' with a Stable Outlook. Fitch has also affirmed Webpros Investments S.A R.L. (Webpros) and co-borrower, Webpros US BidCo Inc's first-lien senior secured term loan B's (TLB) senior secured rating at 'BB' with a Recovery Rating of 'RR2'. Rating strengths are Webpros' solid core business in a niche market, strong and sustainable margins, and robust free cash flow (FCF) generation. The rating is constrained by its scale and narrow service diversification around web-infrastructure software. Fitch expects Webpros to prioritise revenue growth through internal investment and bolt-on acquisitions. This may result in some margin dilution but reflects Webpros' ambition to evolve into a web ecosystem provider, with product breadth and infrastructure services. The Stable Outlook reflects Fitch's expectation of leverage and interest coverage remaining comfortably within the sensitivities. Webpros does not have a clearly articulated capital allocation policy or leverage target. Key Rating Drivers Growth Focus, Potential Margin Dilution: Performance in 2024 was in line with its expectations, with modest revenue growth of around 3%. Webpros remains the leading provider for web-hosting control panels with cPanel and Plesk the main off-the-shelf tools used to manage websites. Fitch expects Webpros to prioritise revenue growth through increased investment in research and development and marketing, supplemented by acquisitions, over harvesting profits from existing products, as was the case in the recent past. A renewed go-to-market strategy is focusing on growth in less penetrated but growing regions such as APAC and Africa. Webpros' Fitch-defined EBITDA margin remained stable at 58% after including recurring expenses and IFRS16 adjustments. The company-defined metric was around 61%. However, Fitch forecasts progressive reduction of the Fitch-defined metric as the company prioritises investments in growth initiatives. Annual Price Increases: Webpros applied mid-single digit price increases in January 2025, which contributes to its forecast of 8% revenue growth. Fitch expects the company will use structural annual price adjustments to support top-line growth and a strong EBITDA margin. Fitch believes the value of Webpros' control panels, scope for further product enhancements and limited contribution to overall total hosting costs for end-clients would allow further pricing increases, although the magnitude would depend on the scope and successful execution of new and improved features. Price rises should help mitigate any margin dilution, reflecting higher value services. Evolution of M&A Policy: Following the acquisition of SocialBee in 2024, Fitch expects Webpros to become more acquisitive as it seeks to evolve its business model beyond its core offerings and drive revenue synergies. SocialBee is a social media and automation platform that will help agencies and customers manage their social media marketing activities integrated into Webpros's control panels. Fitch expects further similar bolt-on acquisitions, internally funded, with small scale and limited EBITDA generation as a faster way to adopt a new technology or functionality to complement in-house product development in areas such as security, billing and email. Strong FCF: FCF is underpinned by a high proportion of recurring revenue, limited capex (research and development is largely expensed) and working-capital outflow, and partially hedged interest costs. This leads to a projected robust FCF margin averaging 30% in 2025-2028. Non-recurring costs associated with the transition of operations from Russia to Bulgaria ceased in 2024, although the refinancing costs weighed down FCF as part of extraordinary costs. Rapid cash accumulation, in the absence of dividend payments, provides Webpros with significant financial resources for M&A or debt prepayment. Market Opportunities: Research suggests the SME market for web hosting and services will grow in high-single digits annually until 2028 on increasing digitisation and demand for additional functionality. This provides opportunities for Webpros to enhance and monetise additional product capabilities, which can be embedded into existing products. Successfully exploiting new opportunities is integral for protecting Webpros' long-term growth prospects, particularly given its niche product concentration and potential for market or technological disruption. Deleveraging Capacity: Fitch-defined EBITDA leverage increased marginally to 4.1x in 2024, because of the increase in its TLB as part of a debt refinancing completed in April 2024, with the additional funds maintained to support investments. Fitch forecasts leverage will be 4.0x in 2025 and trend above its upgrade sensitivity of 3.5x during 2028, supported by incremental absolute EBITDA growth. FCF being used for voluntary debt prepayments remains an upside to its forecasts. Peer Analysis Webpros' ratings are supported by its leading position as a web-infrastructure provider for the SME segment. The company has a global customer base, established partner relationships with web-hosting companies and its products have strong reputation. These strengths are offset by limited product diversification, which increase the risk of technological disruption. Webpros' peer group includes enterprise resource planning-focused software companies, such as TeamSystem S.p.A. (B/Stable), Unit4 Group Holding B.V. (B/Stable), and healthcare software providers, such as Waystar Technologies, Inc. (BB/Stable) and Dedalus SpA (B-/Stable). Similarly to Webpros, these companies benefit from strong market positions, high customer retention and good exposure to secular growth trends. However, Webpros demonstrates significantly higher margins, stronger FCF generation, has more solid market leadership in its niche, and is less exposed to market consolidation risks. Key Assumptions Fitch's Key Assumptions within its Rating Case for the Issuer - Revenue growth of 8% in 2025 and mid-to-high single-digit revenue growth in 2026-2028 - Fitch-defined EBITDA margin (pre-IFRS16) at 57% in 2025 and trending to mid-50% in 2028 - Working-capital outflow of around USD5 million annually to 2028 - Capex at 0.5% of revenue a year for 2025-2028 - Annual non-operational costs of USD3 million a year treated as non-recurring to 2028 - USD15 million of M&A activity through the cycle - No dividends during 2025-2028 Recovery Analysis The recovery analysis assumes that Webpros would be reorganised rather than liquidated in a bankruptcy and remain a going concern (GC) in restructuring. This is because of its market leadership, strong brand, and customer relationships. Fitch estimates a GC EBITDA of USD85 million. Fitch would expect a restructuring to follow a secular decline or lower revenue and EBITDA on reputational damage, an unlikely emergence of a disruptive technology, or intensified competition. Fitch uses an enterprise value (EV) multiple of 6.0x to calculate a post-restructuring valuation of USD459 million after deducting 10% for administrative claims. Its waterfall analysis generated a ranked recovery in the 'RR2' band. This results in a 'BB' senior secured instrument rating for the USD540 million TLB after including a fully drawn senior secured EUR53 million revolving credit facility on an equally ranking basis. RATING SENSITIVITIES Factors That Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Fitch-defined EBITDA gross leverage expected at above 5.2x on a sustained basis - Fitch-defined EBITDA interest coverage below 2.5x on a sustained basis - A weakening market position, underlined by slowing revenue growth or increasing customer churn Factors That Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Clear capital-allocation policy with a commitment to maintaining Fitch-defined EBITDA gross leverage below 3.5x on a sustained basis - Fitch-defined EBITDA interest coverage above 4.5x on a sustained basis - Continued strong market leadership and healthy FCF generation - Increased scale driven by organic/inorganic growth or greater diversification of its business model while maintaining solid profitability Liquidity and Debt Structure Webpros had around USD90 million cash on its balance sheet at end-2024 and Fitch forecasts cash to increase to around USD140 million by end-2025. Fitch expects liquidity to remain comfortable over the next four years, supported by strong FCF generation and an undrawn USD53 million revolving credit facility, maturing March 2029. The company's USD540 million TLB will mature in March 2031. Issuer Profile Webpros is a leading software provider. The group includes widely used platforms such as cPanel and Plesk, which hosting providers worldwide rely on to manage over 85 million domains and 33 million users across approximately 900,000 servers. Summary of Financial Adjustments Fitch has only considered cash reported at Webpros for its credit metric calculations. 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 ----------- ------ -------- ----- Webpros US Bidco Inc senior secured LT BB Affirmed RR2 BB Webpros Investments S.A R.L. LT IDR B+ Affirmed B+ senior secured LT BB Affirmed RR2 BB ===================== N E T H E R L A N D S ===================== IPD 3: Fitch Affirms 'B' LongTerm IDR, Outlook Stable ----------------------------------------------------- Fitch Ratings has affirmed IPD 3 B.V.'s Long-Term Issuer Default Rating (IDR) at 'B' with a Stable Outlook. Fitch has also affirmed its EUR1.14 billion of senior secured notes at 'B+' with a Recovery Rating of 'RR3'. IPD's rating reflects its high leverage, stemming from the acquisitive nature of the business. It also reflects the company's leading position in its product niches, with a high share of subscription revenues underpinned by strong renewal rates, its established and reputable brands and moderate barriers to entry. Fitch expects these factors will allow continued revenue and EBITDA growth, contributing to a good deleveraging capacity. The Stable Outlook reflects its expectations of IPD's prudent approach to further acquisitions, continued moderate margin improvement through a well-managed cost structure and economies of scale, and organic revenue growth, despite macro-economic volatility. Key Rating Drivers Leverage to Gradually Decrease: Fitch calculates that the new EUR620 million notes issued in May 2025 would only raise the company-defined EBITDA gross leverage by 0.1x, due to a small incremental debt quantum. Fitch expects that contributions from bolt-on acquisitions and organic growth across the business segments will drive Fitch-defined EBITDA leverage lower to 5.6x at end-2025 and towards 4.7x at end-2028, from 5.8x at end-2024. Deleveraging may be slower if the company decides to pursue a more aggressive bolt-on acquisition agenda, using its revolving credit facility (RCF), as seen in early 2024. High Proportion of Subscription Revenue: Contracted sales are the backbone of IPD's business. The data and information sector, mainly in the form of subscriptions, represents about 60% of revenue. Customer contracts, typically lasting one to three years, provide profit and cash flow generation visibility. The company benefits from strong revenue retention rates of around 90%, even for non-subscription services. Sustainable Organic Growth: Fitch expects healthy organic revenue growth averaging at least 4% over 2025-2028 excluding revenue contribution from bolt-on M&A. In 2024, IPD reported strong organic revenue growth of 5.5%. This was driven by the expansion of subscription-based technology solutions, especially for automotive and environmental health and safety services, increase in prices and a solid performance of its tradeshows business. Exposure to Cyclical End-Markets: In 2024, about 70% of IPD's revenue came from more cyclical end-markets, such as construction (30%-35% excluding public sector), auto aftermarket (22%) and diversified industrials (20%). Its customer base primarily comprises SMEs, which may be more vulnerable to recession than larger companies. The customer base remained resilient during the pandemic-related economic crisis, due in part to government and EU support, but also because IPD's services are often an essential part of its customers' business and account for a low proportion of their operating costs, making them less likely to be scaled back. Resilient Margin, Expansion to Continue: Margins are resilient, as IPD is able to pass on cost inflation to customers, particularly wages, which represent 55%-60% of operating costs. It is focused on cost control and higher-margin businesses. Fitch expects sluggish economic growth in Europe to reduce opportunities for margin expansion and to keep organic revenue growth in the mid-single digits. However, its base case still assumes IPD will continue to achieve gradual EBITDA margin gains, to above 31% by 2027. This will be driven by cost control, contributions from acquired businesses and economies of scale. Interest Cover to Improve: Fitch expects EBITDA interest coverage to improve to above its downgrade sensitivity of 2.8x in 2026. This is driven by a sharply lower coupon of 5.5% on the new fixed-rate notes compared with 8% before the refinancing, and gradually improving EBITDA. An expected decrease in Euribor will also reduce interest expense on its EUR520 million floating-rate notes. Fitch believes there is further upside to the floating-rate note margin once the current hedge, which keeps the margin above the market rate, expires in September 2025. Its interest cover assumptions do not consider any additional debt in the next four years. Bolt-on Acquisitions to Remain: IPD's strategy assumes organic growth and M&A. The company has accelerated expansion in recent years, spending EUR177 million on acquisitions in 2021-2024, of which EUR115 million was in 2024. Fitch models IPD would spend EUR25 million-35 million a year from 2025, as 2024 transactions have reduced headroom for larger debt-funded expansion. The company has sufficient liquidity as Fitch assumes that its EUR150 million RCF - increased from EUR130 million as part of the refinancing- will remain fully undrawn. Takeover of a bigger target could also expose IPD to greater integration risks. No Major Impact from Tariffs: Fitch does not expect tariffs imposed by the US to have a major impact on IPD. This is because revenue generated from the US is modest, with most of it invoiced by its US-based subsidiary. In addition, clients from potentially affected sectors, such as automotive or construction, operate within the European market. Established Position in Niches: IPD offers a wide range of platforms and services, but two-thirds of its revenue is generated from 15 key brands, which are strongly positioned within their respective niche markets. Broad data sets and experience in tailoring information to customer needs, combined with reliable services, also enhance the loyalty of its customers, as reflected in 86% recurring sales, and create barriers to entry for potential competitors. Peer Analysis IPD's high leverage and smaller scale are the key factors differentiating the company from its larger peers, such as RELX PLC (BBB+/Stable), Thomson Reuters Corporation (BBB+/Stable), Informa PLC (BBB/Stable) and Daily Mail and General Trust Plc (BB+/Stable). IPD benefits from a strong share of subscription revenues and has a well-established position in its core businesses but is more exposed to more cyclical end-markets and is less diversified geographically than its rated peers. Its modest scale also makes it more vulnerable in a recession, while its face-to-face business is exposed to event risks. Key Assumptions - Revenue growth of 6.1% in 2025, 5.8% in 2026, 5.4% in 2027 and 4.8% in 2028 - Fitch-defined EBITDA margin of 30.8% in 2025 and exceeding 31% from 2026 - Capex at 8.6% of revenue between 2025 and 2028 - Bolt-on acquisitions of EUR25 million-35 million a year in 2025-2028 Recovery Analysis Key Recovery Rating Assumptions - IPD would be considered a going concern in bankruptcy and reorganised rather than liquidated. - Fitch assumes a 10% administrative claim. - Fitch estimates a post-restructuring going concern EBITDA of EUR154 million, after corrective measures and a restructuring of its capital structure. This figure is around 21% lower than 2024 Fitch-defined EBITDA. - Fitch assumes an enterprise value multiple of 5.5x to estimate a post-reorganisation value. - After deducting 10% for administrative claims, Fitch calculates recovery prospects for the senior secured instruments will remain in the 'RR3' band, assuming IPD's super senior secured RCF of EUR150 million is fully drawn in a default. This implies a one-notch uplift to the ratings relative to the IDR, leading to a senior secured debt rating of 'B+'/'RR3' for the company's EUR620 million senior secured debt and its existing EUR520 million senior secured notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Fitch-defined EBITDA leverage above 6.2x on a sustained basis - Fitch-defined EBITDA interest coverage failing to improve to 2.8x - EBITDA margin deterioration towards 20% - Free cash flow margin below 3% on a sustained basis - Large, fully debt-funded acquisitions - Material loss of subscription contracts and decline in the trade shows and information and insights businesses Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Fitch-defined EBITDA leverage below 4.7x on a sustained basis - Fitch-defined EBITDA interest coverage above 3.3x on a sustained basis - Free cash flow margin above 8% on a sustained basis - Improved visibility on EBITDA and cash flow generation, with reduced exposure to the face-to-face business Liquidity and Debt Structure At end-1Q25, IPD had adequate liquidity comprising a fully undrawn EUR130 million RCF due 2028 (extended and increased to EUR150 million as part of the April 2025 refinancing) and a cash balance of EUR119 million. It has modest working-capital swings and no material debt maturities until 2031 (under its new debt structure), when its EUR620 million fixed-rate notes and EUR520 million floating-rate notes are due. Issuer Profile IPD is a leading European business information services provider located in France. 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 ----------- ------ -------- ----- IPD 3 B.V. LT IDR B Affirmed B senior secured LT B+ Affirmed RR3 B+ Q-PARK HOLDING: Moody's Rates EUR300MM Secured Notes 'Ba3' ---------------------------------------------------------- Moody's Ratings has affirmed the long-term corporate family rating of Q-Park Holding B.V. ("Q-Park") at Ba3 and the probability of default rating at Ba3-PD. Concurrently, Moody's have assigned a Ba3 rating to the new EUR300 million backed senior secured notes issued by Q-Park's direct subsidiary Q-Park Holding I B.V., and affirmed the Ba3 ratings on the other senior secured notes issued by Q-Park Holding I B.V. The outlook on Q-Park and Q-Park Holding I B.V. remains stable. RATINGS RATIONALE The rating affirmation reflects Moody's expectations that Q-Park will continue to deliver strong operating performance and improve and maintain leverage metrics in line with the Ba3 ratio guidance over the next 12–18 months. Q-Park intends to issue EUR300 million of senior secured notes with a 5-year maturity, the proceeds of which will be used to repay EUR190 million of drawn Revolving Credit Facility (RCF) outstandings, and to fund EUR70.4 million of acquisition activities, with the balance employed as cash on balance sheet for general corporate purposes and transaction fees and expenses. The Ba3 rating of the new notes is aligned with the Ba3 rating of the existing Q-Park senior secured notes, recognizing that the notes issued will be senior secured obligations and will rank equally with all other secured and unsubordinated present and future obligations of the issuer. The size and completion of the issuance is subject to market conditions. The assigned ratings are based on preliminary documentation received by us as of the rating assignment date. Moody's do not expect changes to the documentation reviewed over this period nor does Moody's anticipates changes in the main conditions. Should borrowing conditions and/or final documentation of the notes deviate from the original ones submitted and reviewed by the rating agency, Moody's will assess the impact that these differences may have on the ratings and act accordingly. Q-Park drew under the RCF to complete M&A transactions in December 2024 and April 2025, totaling EUR190 million. This increase in debt led to a revision of Moody's estimates for funds from operations (FFO)/debt of 8.5% in 2025, slightly below the ratio guidance, but it is expected to increase up to 9% or above in 2026 due to the positive impact on EBITDA from M&A and like-for-like growth. Moody's-adjusted Debt/EBITDA is estimated to remain within the Ba3 ratio guidance over the next 12–18 months. Under Moody's base case, Moody's estimates that Q-Park will deliver strong underlying EBITDA growth in 2025, primarily driven by the company's M&A transactions in 2024 and 2025. In 2024, Q-Park acquired three key assets: Optimal Parking in Germany, Britannia in the UK, and SAGS in France, which collectively generated around EUR16 million in EBITDA in YE-2024, though this has not yet been fully reflected in the Q-Park's year-end 2024 accounts. Furthermore, in early 2025, the company acquired ParkOne and signed an agreement to acquire Bavaria Parkgaragen GmbH, both in Germany. Success in realizing potential EBITDA growth from these M&A deals will hinge on the company's ability to effectively integrate the acquired assets and achieve expected synergies. Moody's notes that if the company fails to successfully integrate these assets into its business and achieve expected synergies, key financial ratios could come under negative pressure. Over the years, the annual EBITDA lost due to contract maturities has been approximately EUR3-4 million. Going forward, the impact of expiring contracts on the company's underlying EBITDA is projected to remain below 2% over the next 2-3 years. Q-Park has demonstrated a favorable trend in recent years, where the EBITDA gained from new business ventures has consistently surpassed the losses from contract terminations. Looking ahead, it is expected that this positive trend will continue, although it will be contingent on successful execution and the company's ability to realize anticipated synergies from its strategic initiatives. More generally, the Ba3 rating reflects: (1) a strong asset-ownership model with operations based on legally owned assets or long-term ground leases accounting for 44% of Q-Park's gross margin, and an average remaining contract life, including concessions and other contracts, of around 46 years, which provides good cash flow visibility, (2) flexibility over pricing for a large part of its operations in particular in parking facilities legally-owned or held under long term leases, (3) Q-Park's focus on off-street and multi-functional parking facilities protecting its competitive position in the context of changing demand patterns and municipal policies increasingly directed towards reducing on-street parking places, (4) the high degree of geographic diversification with a presence in around 360 cities with 1 million parking spaces across 7 well-developed countries including the Netherlands, France and Germany, and (5) a positive operating track-record with an annual 4% increase in parking revenue over the last 10 years (despite the pandemic) on a like for like basis, mainly supported by Q-Park's ability to increase tariffs. At the same time, the ratings are constrained by (1) Q-Park's high leverage, (2) execution risk related to Q-Park's growth strategy, which relies for a large part on its ability to further increase its pricing and yield by enhancing value to its customers, and (3) risks to successful integration of newly-acquired assets and the level of realized synergies. LIQUIDITY AND DEBT COVENANTS Q-Park's liquidity is good. As of March 31, 2025, Q-Park had EUR77.2 million of available cash and EUR137 million undrawn out of total committed RCFs of EUR295 million and a EUR30 million operating facility (fully undrawn) with the Development Bank of Japan Inc. The EUR210 million committed RCF facility will face a final maturity in August 2028, while the EUR60 million and the EUR25 million ABN liquidity facility will mature in August 2026, and the operating facility will mature in June 2029. In addition, Q-Park's RCF contains a springing leverage-based financial covenant (net senior secured leverage ratio below 10.8x), which becomes applicable once drawing under the RCF reaches 40%, and is tested quarterly. Moody's anticipates that following the issuance of the new debt all drawn parts of the RCFs will be fully repaid. In 2027, the company will face the maturity of a fixed interest rate EUR630 million bond. Moody's expects the company to be able to cover upcoming debt maturity and other commitments with its available resources or by accessing the capital markets for further refinancing. Last year, the company successfully refinanced its 2025 and 2026 maturities. As a result of the refinancing, 97% of the Q-Park debt is now fixed rate (vs. 80% a year ago). RATIONALE FOR OUTLOOK The stable outlook reflects Moody's expectations that Q-Park will be able to maintain a financial profile commensurate with the Ba3 rating, namely an FFO/debt ratio of at least 9% and a Moody's-adjusted Debt to EBITDA ratio of no more than 7.75x. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS In future, Moody's would consider an upgrade of the ratings if the company is able to maintain, on a sustained basis, a Moody's-adjusted Debt to EBITDA ratio below 6.75x and an FFO to Debt ratio above 11%, and sound liquidity. Conversely, Q-Park's ratings could be downgraded if the company's Moody's-adjusted debt/EBITDA would likely remain above 7.75x and its FFO/debt below 9% over the medium term. These metrics could, for example, result from a weaker-than-expected growth in demand for parking services into the medium term. A significant deterioration in Q-Park's liquidity and/or failure to address possible refinancing needs on a timely basis would exert immediate negative pressure on the ratings. The principal methodology used in these ratings was Privately Managed Toll Roads published in December 2022. COMPANY PROFILE Q-Park Holding B.V. is one of the largest private car park operators in Western Europe by revenue. The company operates more than 1 million parking spaces within more than 5,400 parking facilities located in seven Western European countries, mainly in the Netherlands and France. Q-Park is owned by a consortium of investment funds led by Kohlberg Kravis Roberts & Co. LP, including Interogo Holding AG and Pontegadea Inversiones. In 2024, the company reported revenue of EUR943 million and underlying EBITDA of EUR257 million. VINCENT MIDCO: Moody's Raises CFR to B2 & Alters Outlook to Stable ------------------------------------------------------------------ Moody's Ratings has upgraded Vincent Midco BV's (Vermaat or the company) corporate family rating to B2 from B3 and its probability of default rating to B2-PD from B3-PD. Concurrently, Moody's assigned a new B2 rating to the proposed EUR477 million backed senior secured first lien term loan (TL) B1 due June 2030 and the proposed EUR110 million backed senior secured multicurrency revolving credit facility (RCF) due December 2029, both to be issued by Vincent Bidco BV, a direct subsidiary of Vincent Midco BV. The B2 ratings on the existing EUR320 million backed senior secured first lien TL and the EUR110 million backed senior secured multi currency RCF, both due 2026 and issued by Vincent Bidco BV, have been reviewed in the rating committee and remain unchanged. The outlook on both entities was changed to stable, from positive. The proceeds from the new TL B1 will be used to repay the outstanding EUR320 million backed senior secured first lien TL due December 2026, the EUR92 million second lien TL due December 2027 and the EUR65 million drawn amount under the current EUR110 million backed senior secured multi currency RCF due June 2026. The proposed transaction is expected to be leverage neutral. A comprehensive review of all credit ratings for the respective issuer(s) has been conducted during a rating committee. RATINGS RATIONALE The upgrade of Vermaat's CFR to B2 reflects the positive impact of the refinancing transaction which will extend debt maturities and Moody's expectations that the company will maintain its good operating track record such that its credit metrics will continue to improve over the next 12-18 months, positioning the company more solidly in the B2 rating. Moody's expects Vermaat to organically grow revenue at a sustained rate in the next 12-18 months, supported by strong market growth in the premium catering segment and new contract wins. In addition, a material contribution to growth will also come from L&D, a premium German catering company which Vermaat acquired in July 2024. At the same time, Moody's anticipates that the company will continue to focus on operational improvements and cost control such that its EBITDA margin, as reported by the company, will improve slightly above 15% (compared to 14.1% in 2024), corresponding to a Moody's adjusted EBITA margin progressively increasing towards 11% over the next 12-18 months, compared to 9.5% in 2024. Moody's anticipates that this profit improvement will support the decrease of the company's Moody's adjusted debt/EBITDA to below 5.5x over the next 12-18 months. Moody's also expects that the refinancing will be marginally beneficial to Vermaat's interest expenses, as Moody's assumes the cost of the proposed TL B1 will be lower than the existing second lien TL and slightly higher than the current TL B. Therefore, Moody's forecasts that Vermaat's Moody's adjusted EBITA/ interest will trend to around 2x over the next 12-18 months, from 1.4x in 2024. Similarly, Moody's expects that its free cash flow (FCF) generation, on a Moody's adjusted basis, will remain positive despite the slightly higher capex to support expansion, leading to a Moody's adjusted FCF/debt increasing to well above 2% after 2025. Vermaat's B2 CFR is supported by its leading position in the Dutch premium catering market and its increasing exposure to Germany and France, its strong execution capabilities and its diverse end market exposure, including corporate offices, hospitals, museums, leisure venues and airports. The B2 CFR is constrained by its still high revenue concentration in the Netherlands, some degree of customer concentration and its constrained FCF generation, given its necessity to support expansion and new locations opening. LIQUIDITY Vermaat's liquidity is good. The company had EUR52 million of cash as of December 2024 and Moody's expects the company to generate a positive FCF, on a Moody's adjusted basis, of around EUR15 million in 2025. Moody's expects the proposed EUR110 million backed senior secured multicurrency RCF to be undrawn. The RCF will be subject to a springing covenant on net leverage, fixed at 10.25x and tested only if the facility is drawn at 40% or more. Moody's expects the covenant to be amply met. Upon completion of the proposed debt issuance, Vermaat will not have any debt maturities before 2029. STRUCTURAL CONSIDERATIONS The proposed backed senior secured first lien TL B1 and RCF are rated B2, in line with the CFR. Both instruments will benefit from security over shares, bank accounts and intragroup loans of material subsidiaries. Moody's typically views debt with this type of security package to be akin to unsecured debt. Both instruments will also benefit from upstream guarantees from operating companies accounting for at least 80% of consolidated EBITDA. 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). Security will be granted over key shares, bank accounts and intra-group receivables, of companies incorporated in the Netherlands. Incremental facilities are permitted up to 100% of EBITDA. Unlimited pari passu debt is permitted if the senior secured net leverage ratio (SSNLR) is less than 5.25x. Unlimited second lien debt is permitted if the secured net leverage ratio (SNLR) is less than 6.75x. Unlimited debt secured on non-collateral is permitted if the net leverage ratio (NLR) is less than 6.75x. Unlimited restricted payments are permitted if the SSNLR is less than 3.75; or 4.25x where 50% funded from available amounts; or 4.75x where 100% funded from available amounts. Unlimited payment of subordinated debt or investments is permitted if the SSNLR is less than 4.75. Includes a portability test on change of control subject to SSNLR being less than 4.2x, within 24 months of the closing date. Adjustments to consolidated EBITDA include the full run rate of cost savings and synergies arising from actions expected to be taken, capped at 25% of consolidated EBITDA and believed to be realisable within 24 months of the relevant step being taken. The above are proposed terms, and the final terms may be materially different. RATIONALE FOR THE STABLE OUTLOOK The stable outlook reflects Moody's expectations that the company will maintain its strong execution capabilities, leading to continued improvements in credit metrics, with Moody's adjusted debt/EBITDA decreasing to below 5.5x and Moody's adjusted FCF/debt increasing above 2% after 2025. The stable outlook also incorporates Moody's expectations that the company will selectively pursue bolt-on acquisitions without impairing its credit metrics improvement, nor will it distribute significant shareholders remunerations. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS An upgrade could materialize if the company shows ability to continue to generate positive organic growth and profitability improvements such that its Moody's adjusted debt/EBITDA decreases below 4.5x and its Moody's adjusted FCF/debt trends towards high single digit, both on a sustainable basis. An upgrade would also require Moody's adjusted EBITA/ interest expenses to sustainably increase above 2.5x. A downgrade could materialize if the company's operating performance weakens, leading to a Moody's adjusted debt/EBITDA increasing above 6x, or to a Moody's adjusted EBITA/interest decreasing below 1.5x, all on a sustainable basis. Negative rating pressure could also arise if liquidity deteriorates or the company generates close to break-even or negative Moody's adjusted FCF. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Business and Consumer Services published in November 2021. COMPANY PROFILE Vermaat is the market leader in premium catering and hospitality services in The Netherlands, with a growing presence in France and Germany. The company is majority owned by Bridgepoint since December 2019 and generated revenue of EUR608 million in 2024. =============== P O R T U G A L =============== ULISSES FINANCE 3: DBRS Confirms B Rating on Class E Notes ---------------------------------------------------------- DBRS Ratings GmbH took the following credit rating actions on the bonds issued by TAGUS - Sociedade de Titularizacao de Creditos, S.A. (Ulisses Finance No.3) (the Issuer): -- Class A Notes confirmed at AA (sf) -- Class B Notes confirmed at A (high) (sf) -- Class C Notes confirmed at BBB (sf) -- Class D Notes confirmed at BB (sf) -- Class E Notes confirmed at B (sf) -- Class F Notes confirmed at B (low) (sf) The credit rating of the Class A Notes addresses the timely payment of interest and ultimate repayment of principal on or before the final legal maturity date in June 2039. The credit ratings of the Class B Notes, Class C Notes, Class D Notes, Class E Notes and Class F Notes address the ultimate repayment of interest (timely when most senior) and the ultimate repayment of principal by the legal final maturity date. CREDIT RATING RATIONALE 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 2025 payment date; -- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and -- Current available credit enhancement to the rated notes to cover the expected losses at their respective credit rating levels. The transaction is a Portuguese securitization of auto loan receivables granted and serviced by 321 Credito - Instituicao Financeira de Credito, S.A. (321 Credito), a subsidiary of Banco CTT, S.A., after the acquisition that closed in May 2019. The transaction closed in June 2022 and included an initial 12-month revolving period, which ended on the June 2023 payment date. As of the April 2025 payment date, the EUR 116.5 million portfolio (excluding defaulted receivables) consisted primarily of loans granted for the purchase of used vehicles (more than 99.0% of the outstanding pool balance). PORTFOLIO PERFORMANCE As of the April 2025 payment date, loans that were one-to-two months and two-to-three months in arrears represented 1.8% and 0.8% of the portfolio balance, respectively. Gross cumulative defaults represented 3.2% of the aggregated original portfolio balance, with cumulative recoveries of 15.2% to date. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of the receivables and maintained its base case PD and LGD assumptions at 6.9% and 53.9%, respectively. CREDIT ENHANCEMENT The subordination of the junior obligations provides credit enhancement to the rated notes. As of the April 2025 payment date, credit enhancement to the Class A, Class B, Class C, Class D, Class E, and Class F Notes was 16.0%, 12.0%, 6.0%, 3.0%, 0.5%, and 0.0%, respectively. Credit enhancement has remained stable since closing because of the pro rata amortization of the notes. The cash reserve account is available to cover senior expenses and interest payments on the Class A Notes, and, if the notes are not deferred in the waterfall, interest on the Class B, Class C, Class D, Class E, and Class F Notes. The cash reserve account was funded at closing with EUR 1.5 million and its required balance is set at 0.8% of the rated notes' balance, subject to a floor of EUR 0.8 million. As of the April 2025 payment date, the cash reserve is at its target of EUR 0.9 million. Deutsche Bank AG acts as the account bank for the transaction. Based on Morningstar DBRS' reference rating of A(high) on Deutsche Bank (one notch below its 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 rated notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Crédit Agricole Corporate & Investment Bank (CACIB) acts as the swap counterparty for the transaction. Morningstar DBRS' private credit rating on CACIB is consistent with the credit ratings assigned to the rated notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Notes: All figures are in euros unless otherwise noted. =========== R U S S I A =========== TEREOS SCA: Fitch Alters Outlook on 'BB' LongTerm IDR to Stable --------------------------------------------------------------- Fitch Ratings has revised Tereos SCA's Outlook to Stable from Positive, while affirming its Long-Term Issuer Default Rating (IDR) at 'BB'. Its senior unsecured debt issued by Tereos Finance Groupe I SA (FinCo) was also affirmed at 'BB' with a Recovery Rating of 'RR4'. The Outlook revision reflects its expectation of delayed deleveraging due to sharp sugar price declines in Europe leading to lower Fitch-adjusted EBITDA of about EUR400 million in the financial year ending March 2026 (FY26) from below EUR700 million in FY25. Fitch estimates its readily marketable inventories (RMI)-adjusted leverage will temporarily increase to above 5.0x in FY26 before normalising at below 4x from FY27, supporting the Stable Outlook. Tereos' rating reflects its moderate product diversification, and a mid-sized scale compared with global commodity traders. Rating strengths are its resilient market position as the world's second-largest sugar producer, with an asset-heavy business model, operations and raw material sources spread across Europe and Latin America. Key Rating Drivers Profit Decline in FY26: Fitch anticipates Tereos's EBITDA to fall towards EUR400 million in FY26 and its margin to decline towards 8%, its lowest for the past five years, mainly driven by a profit decline in its European business. More than a 30% decline in sugar prices in Europe in FY25, due to market surplus following increased supply in the region, led to lower EBITDA than its projections, while the main effects will be seen in FY26. However, Fitch assumes a moderate price recovery, driven by its expectation of reduced planting area for sugar beet in FY26 in Europe. This, alongside ongoing efficiency gains, should drive profitability recovery at Tereos's European operations towards a through-the-cycle average of 10%-11% from FY27. Higher-Margin International Operations: Fitch projects EBITDA margin will remain above 21% for Tereos's international operations in FY26, despite its forecast of lower profits for the division. The latter is the main contributor to the group's profits. Fitch projects lower crushing volumes in Brazil for FY26 due to poor weather affecting sugar cane crop and crushing yields, but Fitch expects moderate recovery from FY27. Fitch also expects sales volumes growth in the region to be supported by Tereos's investments in cane planting area in Brazil. Temporary Spike in Leverage: Fitch anticipates Fitch-calculated RMI-adjusted net leverage will increase to 5.7x in FY26 on weaker EBITDA before reducing towards 4x in FY27 and normalising at below 3.5x from FY28. Fitch expects profitability recovery from FY27 to be supported by gains from an optimised industrial set-up and savings from operating efficiency and decarbonisation initiatives, in addition to normalising sugar market and recovering sales volumes in Brazil. Its view of Fitch-calculated EBITDA remaining above EUR600 million on a through-the-cycle basis is a key factor supporting the Stable Outlook for the rating. Moderate Global Price Correction: Fitch assumes only gradual correction in global sugar prices for FY26-FY29, with higher mid-cycle sugar prices than the levels seen prior the peak of 2022-2024, as global sugar balance is likely to remain tight. Sugar and ethanol prices are also exposed to volatility due to their linkage to oil dynamics. This stems from ethanol's use as a competitively priced input to be blended with gasoline, and as sugar cane is used to produce sugar and ethanol. Ethanol prices in Brazil benefit from favourable legislation for customers using ethanol as vehicle fuel. Negative FCF in FY26: Fitch expects free cash flow (FCF) margins to turn negative in the mid-single digits in FY26, mainly driven by EBITDA reduction. Fitch assumes FCF to be partly supported by normalising capex from high levels in FY25 and stable working capital needs based on its sugar price assumptions. Fitch also expects FCF in FY26-FY27 to be supported by moderated dividends and price complements payments to farmers, which Fitch treats as shareholder distributions, linked to the group profits and sugar prices. Fitch projects FCF margins to turn positive at about 1% from FY28, in line with Tereos's target of positive FCF before changes in working capital. Consistent Financial Policy: Tereos's commitment to its financial policy remains an important factor in supporting the Stable Outlook, given its exhausted rating headroom. Tereos aims to keep its gross leverage below 3.0x over the medium term (excluding EUR244 million in factoring in FY25, which Fitch adds back to its debt calculation), which should translate into RMI-adjusted net leverage sustainably below 3.0x, based on its forecast of through-the-cycle EBITDA of EUR600 million-700 million. Cost Structure Flexibility: Tereos supplies sugar beet from members in France at prices based on a formula linked to prices in the region with flexibility to adjust input beetroot price, which helps soften the EBITDA impact in times of low market prices. The expected impact of FY25-FY26 price decline underlines Tereos's exposure to EBITDA margin swings, but to a lower extent than for some of its peers. The resilience of Tereos's profitability in Brazil is supported by vertical integration, with about 50% of sugar cane farmed in-house, and the ability to switch between sugar and ethanol production, according to the products' varying profitability. Strong Market Position: Tereos's business profile commensurates with the mid-to-high end of the 'BB' rating category through the cycle, reflecting its large operational scope, strong position in the commodity market and moderate long-term growth prospects. Diversified production in the EU and Brazil, presence in starches and sweeteners and expansion in protein products reduce its reliance on sugar and ethanol operations. This is balanced by the inherent volatility of business profile, which, together with its moderate scale, continues to constrain the rating to the 'BB' category. Peer Analysis Tereos's rating is three notches below those of larger and significantly more diversified commodity traders and processors, Viterra Limited (BBB/Rating Watch Positive) and Bunge Global SA (BBB+/Stable). Tereos has high profitability due to its large presence in processing, while the two peers are more exposed to trading and have EBITDA margins of about 2% and 4%, respectively, compared with a Fitch-projected through-the-cycle margin of about 11% for Tereos. Fitch rates Tereos at the same level as Andre Maggi Participacoes S.A. (Amaggi; BB/Stable), an integrated agribusiness company based in Brazil. Both companies have an asset-heavy business model. Tereos now has higher EBITDA and better geographic diversification in commodity sourcing, whereas Amaggi is heavily reliant on one region, but it has a slightly lower RMI-adjusted net leverage and marginally stronger liquidity ratio. Tereos's rating further benefits from its conservative financial policy. Tereos is rated two notches above Aragvi Holding International Limited (B+/Stable), as it has greater scale, wider sourcing markets and lower operating environment risks, as well as a stronger asset base and a longer operating record, although both companies have comparable product concentration. Raizen S.A. (BBB/Stable), the leading sugar and ethanol producer in Brazil, benefits from implicit support from shareholders, much bigger scale and lower leverage, which explains the three-notch differential. Key Assumptions Fitch's Key Assumptions Within Its Rating Case for the Issuer - An average of 0.9 euros to the US dollar and 5.2 Brazilian reals to the dollar over FY25-FY28 - Revenue to decline 11% in FY26 before growing 4.5% in FY27, followed by low single-digit annual growth in FY28-FY29 - International No.11 sugar price averaging at USD0.19/lb in FY26, gradually reducing to USD0.18/lb over FY27-FY29 - Fitch-adjusted EBITDA margin of 7.7% in FY26, before recovering towards 12% to FY29 - Annual average capex of about EUR380 million in FY26-FY29 - Dividends per share (including price complements to cooperative members) paid to cooperative members of EUR45 million in FY26, EUR40 million in FY27, EUR60 million in FY28 and EUR72 million in FY29 - No material asset divestments or M&As over FY26-FY29 - Credit lines used to finance operations are renewed RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Reduced financial flexibility, as reflected in EBITDA interest coverage (RMI-adjusted) falling permanently below 3.0x, or an inability to maintain adequate availability under committed medium-term credit lines - Liquidity ratio (cash and marketable securities plus RMI plus account receivables/total short-term liability) below 0.7x on a sustained basis - EBITDA falling below EUR600 million on a sustained basis - Consolidated (RMI-adjusted) EBITDA net leverage above 4.0x on a sustained basis Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Greater diversification of operations by sourcing and processing region or by commodity - Maintenance of an EBITDA margin of at least 12%, reflecting benefits of vertical integration - Strict financial discipline and maintenance of positive FCF on a sustained basis - Consolidated (RMI-adjusted) EBITDA net leverage, consistently below 3x and (RMI-adjusted) EBITDA/net interest coverage of at least 4.5x - Liquidity ratio improving towards 1x on a sustained basis Liquidity and Debt Structure Tereos's internal liquidity score remained unchanged at 0.7x at FYE25 (defined as unrestricted cash plus RMI and accounts receivables divided by total current liabilities). It has sufficient resources of EUR836 million of undrawn committed revolving credit facilities at FYE25 and EUR478 million of cash balance, which, despite its projection of negative FCF of EUR287 million, should be sufficient to cover the debt due in FY26 and other liquidity needs. Issuer Profile Tereos is the world's second-largest sugar, alcohol and ethanol producer, and the third-largest starch producer in Europe. It is a cooperative, with about 10,700 cooperative farmer shareholders, who are based in France and supply sugar beet to the group. 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 Tereos has an ESG Relevance Score of '4' for Waste & Hazardous Materials Management; Ecological Impacts as the volumes of its sugar production in France are affected by regulation that restrains the use of nicotinoid-based insecticides in beetroot farming. 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 ----------- ------ -------- ----- Tereos Finance Groupe I SA senior unsecured LT BB Affirmed RR4 BB Tereos SCA LT IDR BB Affirmed BB ========= S P A I N ========= AMBER HOLDCO: Moody's Upgrades CFR to B1, Outlook Remains Stable ---------------------------------------------------------------- Moody's Ratings has upgraded to B1 from B2 the long-term corporate family rating and to B1-PD from B2-PD the probability of default rating of Amber Holdco Limited (Applus or the company). Concurrently, Moody's also upgraded to B1 from B2 the instrument ratings of the EUR895 million backed senior secured global notes (notes) due 2029, the EUR200 million backed senior secured revolving credit facility (RCF) due 2028 and the backed senior secured term loan B2 (TLB) due 2029, borrowed by Amber FinCo PLC. The backed senior secured TLB will be upsized to EUR1,050 million following the proposed EUR250 million fungible add-on. The outlook on both entities remains stable. The company will use the proposed EUR250 million add-on to repay current drawings under the RCF (EUR136 million); to pay associated fees and expenses; and to increase its cash on balance sheet for general corporate purposes (including potential future M&A). "The upgrade reflects the strong operating performance in 2024, with organic revenue growth across its four divisions above mid-single digit, which Moody's expects to continue in the next 12-18 months. Moody's expects the company to continue to generate positive free cash flow (FCF) over 2025-26, which will drive improvements in credit metrics," says Fernando Galeote, a Moody's Ratings Analyst and lead analyst for Applus. "The upgrade also recognizes the positive long-term growth expectations for the markets where Applus operates," adds Mr Galeote. RATINGS RATIONALE The rating action reflects the positive industry fundamentals supporting sustained organic revenue growth and the company's strong operating performance. In 2024, Applus generated strong revenue growth of 7%, reaching EUR2.2 billion (2023: EUR2.1 billion) and Moody's-adjusted EBITDA increased by around 13% to EUR363 million (2023: EUR320 million). This increase was mainly driven by: (1) moderate pricing initiatives; (2) stronger contribution from divisions with higher margins; (3) efficiency measures and more intensive use of technology; and (4) positive contribution from operating leverage thanks to higher scale. Moody's expects annual revenue growth to continue at high single digits over 2025-26, thanks to a combination of steady organic growth and contribution from bolt-on M&A. Moody's forecasts pro forma Moody's-adjusted EBITDA margin to increase to 17.5% in 2025 and 18% in 2026 from 16.4% in 2024. This growth will be supported by the revenue growth and operational improvement initiatives launched in 2025. Moody's expects positive FCF of EUR70 million in 2025, to improve towards EUR120 million in 2026 thanks to positive EBITDA growth, partially offset by higher interests. As a result, Moody's expects the company's Moody's-adjusted debt/EBITDA to decrease towards 5.0x in the next 12-18 months (6.0x in 2024), which was the threshold Moody's previously indicated for an upgrade. The company's rating reflects its (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) reputation and long lasting relationship with blue-chip customers 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. However, the company's rating is also 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) high Moody's-adjusted gross leverage, and (3) expectation of the continuation of the strategy of bolt-on acquisitions which, depending on the intensity, might require additional debt and could entail certain integration and execution risks. LIQUIDITY Applus has a good liquidity profile, with EUR177 million available cash on balance sheet as of December 31, 2024. In addition, the company has access to a EUR200 million backed senior secured revolving credit facility, which will be fully undrawn following the proposed add-on. Pro forma for the transaction, the company's cash will increase to EUR226 million (before transaction costs). The backed senior secured revolving credit facility has a springing net leverage covenant set at 7.02x, tested only when the RCF is drawn at more than 40%. Applus does not have any significant maturity until 2029 when the notes and TLB are due. STRUCTURAL CONSIDERATIONS The backed senior secured notes, TLB and RCF issued by Amber FinCo PLC rank pari passu and are rated B1 in line with Applus' CFR in the absence of any meaningful liabilities ranking ahead or behind. Moody's assumes 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 77.7% of the shares of the target. 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. OUTLOOK The stable outlook reflects Moody's expectations that Applus will continue to generate positive earnings growth over the next 12-18 months. The outlook assumes that the company will maintain a balanced approach to M&A and shareholder distributions. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Upward 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 4.0x on a sustained basis, (3) Moody's-adjusted FCF/debt improves towards high-single digit rates on a sustained basis, (4) Moody's-adjusted EBITA/interest expense increases above 3.0x, and (5) the company maintains 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 well above 5.0x on a sustained basis, (3) FCF weakens, (4) Moody's-adjusted EBITA/interest expense declines below 2.0x, or (5) liquidity deteriorates. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Business and Consumer Services published in November 2021. COMPANY PROFILE Headquartered in Barcelona, Spain, Applus is a company operating within the TIC industry with around 44% of 2023 revenues coming from testing, 50% from inspection and 6% from certification. The company was founded in 1996 and had around 28,000 employees in 65 countries as of December 2024 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 2024 the group generated revenues of EUR2,209 million with a company-adjusted EBITDA of EUR386 million. Applus is co-owned by two private equity firms, I Squared Advisors and TDR Capital LLC, with a combined 77.7% of ownership as of March 2025. AUTONORIA SPAIN 2025: DBRS Gives (P) BB(high) Rating on 2 Tranches ------------------------------------------------------------------ DBRS Ratings GmbH assigned provisional credit ratings to the following classes of notes (collectively, the Rated Notes) to be issued by Autonoria Spain 2025, FT (the Issuer): -- Class A Notes (P) AAA (sf) -- Class B Notes (P) AA (high) (sf) -- Class C Notes (P) A (high) (sf) -- Class D Notes (P) BBB (high) (sf) -- Class E Notes (P) BB (high) (sf) -- Class F Notes (P) BB (high) (sf) Morningstar DBRS does not rate the Class G Notes (collectively with the Rated Notes, the Notes) also expected to be issued in the transaction. The provisional credit ratings on the Class A Notes 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 Notes, Class D Notes, Class E Notes, and Class F Notes address the ultimate (and timely when they are the most senior class of notes outstanding) payment of scheduled interest and the ultimate repayment of principal by the final maturity date. The Issuer is a securitization fund incorporated under the laws of Spain and acts as a special-purpose entity for issuing asset-backed securities. The Notes are backed by a portfolio of fixed-rate receivables related to Spanish auto loans granted by Banco Cetelem, S.A.U. (Banco Cetelem). Banco Cetelem will also service the receivables (the Servicer) for the transaction. CREDIT RATING RATIONALE Morningstar DBRS based its provisional credit ratings on the following analytical considerations: -- The transaction's structure, including the form and sufficiency of the 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 Banco Cetelem's provisional portfolio, the characteristics of the collateral, its historical performance, and Morningstar DBRS-projected behavior under various stress scenarios; -- Banco Cetelem's capabilities with respect to originations, underwriting, servicing, and its position in the market and financial strength; -- The operational risk review of Banco Cetelem, 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 structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions"; and -- Morningstar DBRS' sovereign credit rating on the Kingdom of Spain, currently at A (high) with a Stable trend. TRANSACTION STRUCTURE The transaction includes a 9-month revolving period, during which the Issuer will purchase additional collateral. Also, during this period, the transaction will be subject to receivables eligibility criteria and concentration limits designed to limit the potential deterioration of the portfolio quality, with which the Issuer will have to comply. The revolving period may end earlier than scheduled if certain events occur, such as the originator's insolvency, the servicer's replacement, or the breach of performance triggers. The transaction incorporates a separate interest and principal waterfall that facilitates the distribution of the available distribution amount. The Notes amortize pro rata until a sequential redemption event occurs, at which point the amortization of the Notes becomes fully sequential. Sequential redemption events include the breach of performance-related triggers or the Seller not exercising the call option. The Seller will fund a cash reserve account equal to 1.5% of the Rated Notes' initial balance on the closing date, which will amortize to a level equal to 1.5% of the Rated Notes' outstanding balance with a floor of 0.6% of the Rated Notes' initial balance at closing. The reserve is only available to the Issuer in restricted scenarios where the interest and principal collections are not sufficient to cover senior expenses, swap payments, and interest on the Class A Notes and, if not deferred, interest payments on other classes of Rated Notes. Principal available funds may be used to cover senior expenses, swap payments, and interest shortfalls on the Notes in certain scenarios that would be recorded in the transaction's principal deficiency ledger (PDL) in addition to the defaulted receivables. The transaction includes a mechanism to capture excess available revenue amount to cure PDL debits and interest deferral triggers on the subordinated classes of Notes, which is conditional on the PDL debit amounts and seniority of the Notes. All underlying contracts are fixed rate, while the Notes are indexed to one-month Euribor. Interest rate risk for the Notes should be mitigated through interest rate swaps. COUNTERPARTIES BNP Paribas SA (BNPP), Sucursal en España is expected to be appointed as the Issuer's account bank for the transaction. Morningstar DBRS has a Long-Term Issuer Rating of AA (low) with a Stable trend on BNPP and privately rates BNPP, Sucursal en España. Morningstar DBRS concluded that BNPP-SP meets the criteria to act in such capacity. The transaction documents should contain downgrade provisions relating to the account bank consistent with Morningstar DBRS' criteria. Banco Cetelem is expected to be appointed as the swap counterparty for the transaction and will benefit from a swap guarantee provided by BNPP. Morningstar DBRS currently does not rate Banco Cetelem but it has a Long-Term Senior Debt credit rating of AA (low) with a Stable trend and a Long Term Critical Obligations Rating of AA (high) with a Stable trend on BNPP, which meets its criteria to act in such capacity. Morningstar DBRS' credit rating on the chosen swap guarantor counterparty and the downgrade provisions referenced in the hedging documents are consistent with Morningstar DBRS' criteria. 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 are the related interest and principal payments on the Rated Notes. Notes: All figures are in euros unless otherwise noted. BBVA CONSUMER 2025-1: DBRS Finalizes B Rating on Z Notes -------------------------------------------------------- DBRS Ratings GmbH finalized the provisional credit ratings on the following notes (the Rated Notes) issued by BBVA Consumer 2025-1 FT (the Issuer): -- Class A Notes at AA (sf) -- Class B Notes at A (sf) -- Class C Notes at BBB (high) (sf) -- Class D Notes at BB (high) (sf) -- Class Z Notes at B (sf) Morningstar DBRS did not assign a credit rating to the Class E Notes also 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 by the final maturity date. The credit ratings of the Class B, Class C, and Class D Notes address the ultimate payment of interest (timely when most senior) and the ultimate repayment of principal by the final maturity date. The credit rating of the Class Z Notes addresses the ultimate payment of interest and the ultimate repayment of principal by the legal final maturity date. The transaction is a securitization of a portfolio of fixed-rate, unsecured, amortizing personal loans granted without a specific purpose to private individuals domiciled in Spain by Banco Bilbao Vizcaya Argentaria, S.A. (BBVA). BBVA is also the initial servicer of the transaction, which has no exposure to balloon payments or residual value. CREDIT RATING RATIONALE Morningstar DBRS' 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 of the collateral, historical and projected performance of BBVA's portfolio, and Morningstar DBRS' projected performance under various stress scenarios -- An operational risk review of BBVA's capabilities with regard to its originations, underwriting, servicing, and financial strength -- The transaction parties' financial strength with regard to their respective roles -- The consistency of the transaction's structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology -- Morningstar DBRS' long-term sovereign credit rating of the Kingdom of Spain, currently A (high) with a Stable trend TRANSACTION STRUCTURE The transaction is static and allocates payments based on a combined interest and principal priority of payments. The transaction also benefits from an amortizing cash reserve equal to 1% of the Class A and Class B Notes' outstanding balance, subject to a floor of EUR 6,021,875 until the full redemption of the Class A and Class B Notes. The cash reserve is part of the interest funds available to cover shortfalls in senior expenses, senior swap payments, interest on the Class A Notes and, if not deferred, interest on the Class B Notes. The repayment of the Class A, Class B, Class C, Class D and Class E Notes will be on a pro rata basis after the transaction closing until the occurrence of a subordination event after which the repayment will switch to a non-reversible sequential basis. The lowest-ranked Class Z Notes will be redeemed with a target amount on each payment date, subject to available funds. TRANSACTION COUNTERPARTIES BBVA is the account bank for the transaction. Based on Morningstar DBRS' Long-Term Issuer Rating of A (high) on BBVA, the downgrade provisions outlined in the transaction documents, and other mitigating factors 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. BBVA is also the swap counterparty for the transaction. Morningstar DBRS' Long-Term Issuer Rating of A (high) on BBVA meets Morningstar DBRS' criteria with respect to its role. The transaction documents contain downgrade provisions consistent with Morningstar DBRS' criteria. PORTFOLIO ASSUMPTIONS Morningstar DBRS notes the gross default levels have deteriorated noticeably since 2019 without any sign of stabilization and the more recent vintages show worse performance trends. After considering the quality and trend of the data, Morningstar DBRS revised the expected default to 5.5% from 4.1% applied in the BBVA Consumo 11 FT transaction, reflecting the performance trends of BBVA's personal loan portfolio. Contrary to defaults, recovery rates have gradually improved, with the most recent vintages exhibiting significantly better performance than earlier vintages within the same time frame since default. Morningstar DBRS, therefore, revised the portfolio expected recovery to 30% from 26.3% applied in BBVA Consumo 11 FT transaction. 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 class of the Rated Notes are the related interest due amounts and the initial principal balance. Notes: All figures are in euros unless otherwise noted. SANTANDER CONSUMO 6: DBRS Cuts Class E Notes Rating to B(low) ------------------------------------------------------------- DBRS Ratings GmbH took credit rating actions on the notes listed below (the Rated Notes) issued by Santander Consumo 6 FT (the Issuer): -- Class A Notes confirmed at AA (sf) -- Class B Notes confirmed at AA (sf) -- Class C Notes confirmed at A (high) (sf) -- Class D Notes confirmed at A (low) (sf) -- Class E Notes downgraded to B (low) (sf) from BB (sf) These rating actions conclude and resolve the period of Review with Negative Implications of the Class B, Class C, Class D, and Class E Notes where they were placed on 20 December 2024. The credit ratings on the Class A, Class B, Class C, and Class D Notes address the timely payment of scheduled interest and the ultimate repayment of principal by the legal final maturity date. The credit rating on the Class E Notes addresses the ultimate payment of interest and the ultimate repayment of principal by the legal final maturity date. The credit rating actions follow an annual review of the transaction and are based on the following analytical considerations: -- Portfolio performance, in terms of delinquencies and defaults, as of the March 2025 payment date; -- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and -- Current available credit enhancement to the Rated Notes to cover the expected losses at their respective credit rating levels. The transaction is a securitization of Spanish unsecured personal consumer loans granted to individuals residing in Spain by Banco Santander SA (Banco Santander), which closed in May 2024. Banco Santander also services the portfolio (the Servicer) and acts as the issuer account bank. At closing, the initial collateral consisted of loans totaling EUR 1.2 billion and the transaction envisaged a 7-month revolving period, which ended in December 2024. As of the March 2025 payment date, the outstanding performing collateral portfolio stood at EUR 1.1 billion. PORTFOLIO PERFORMANCE As of March 2025 payment date, loans that were 30 to 60 days and 60 to 90 days delinquent represented 0.7% and 0.3% of the portfolio balance, respectively, while loans more than 90 days delinquent amounted to 0.9% of the portfolio balance. The cumulative default ratio increased to 0.9% of the aggregate original portfolio balance from 0.1% in September 2024. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS Morningstar DBRS updated its base-case PD and LGD assumptions to 4.5% and 85.0%, respectively, from 4.0% and 20.0%, respectively, following a review of updated historical collateral performances. This marks a noticeable deterioration in both the historical cumulative defaults and the related recoveries, which was already reflected in the expected default and expected recovery assumptions Morningstar DBRS applied to Santander Consumo 7 FT and Santander Consumo 8, issued on November 14, 2024 and on May 28, 2025, respectively. CREDIT ENHANCEMENT The subordination of the junior notes provides credit enhancement to the Rated Notes. As of March 2025 payment date, the Class A, Class B, Class C, and Class D Notes' credit enhancement remained unchanged since issuance at 17.0%, 13.0%, 9.8%, and 4.8%, respectively, because of the pro rata amortization of the notes. If a sequential redemption event is triggered, the principal repayment of the notes will become sequential and nonreversible. The transaction benefits from an amortizing cash reserve available to cover shortfalls in senior expenses, senior swap payments, and interest on the Class A, Class B, Class C, Class D Notes and, if not deferred, the Class E Notes. The reserve was funded to EUR 24 million at closing through the issuance of the Class F Notes. The cash reserve is currently at its target amount of EUR 24 million. Banco Santander acts as the account bank and the swap counterparty for the transaction. Morningstar DBRS has a public Long-Term Issuer Rating and a public Long-Term Deposits Rating of A (high) and a public Long Term Critical Obligations Rating (COR) of AA with Stable Trend on Banco Santander. Based on Morningstar DBRS' public ratings and on the downgrade provisions outlined in the transaction's documents together with other mitigating factors inherent in the transaction's structure, Morningstar DBRS considers the risk arising from the exposure to the account bank and the swap counterparty to be consistent with the credit ratings assigned to the Rated Notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Notes: All figures are in euros unless otherwise noted. SANTANDER CONSUMO 8: DBRS Finalizes B(low) Rating on E Notes ------------------------------------------------------------ DBRS Ratings GmbH finalized provisional credit ratings on the following classes of notes (the Rated Notes) issued by Santander Consumo 8 FT (the Issuer): -- Class A Notes at AA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (sf) -- Class D Notes at BBB (high) (sf) -- Class E Notes at B (low) (sf) Morningstar DBRS does not rate the Class F Notes (collectively with the Rated Notes, the Notes) also issued in the transaction. The credit rating on the Class A Notes addresses the timely payment of scheduled interest and the ultimate repayment of principal by the final maturity date. The credit ratings on Class B, Class C, and Class D Notes address the ultimate payment of interest (timely when most senior) and the ultimate repayment of principal by the final maturity date. The credit rating on the Class E Notes addresses the ultimate payment of interest and the ultimate repayment of principal by the legal final maturity date. The transaction is a securitization of a portfolio of fixed-rate, unsecured, amortizing personal loans granted without a specific purpose to private individuals domiciled in Spain and serviced by Banco Santander SA (Santander). CREDIT RATING RATIONALE Morningstar DBRS' 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 of the collateral, historical and projected performance of Santander's portfolio, and Morningstar DBRS' projected performance under various stress scenarios; -- An operational risk review of Santander's capabilities with regard to its originations, underwriting, servicing, and financial strength; -- The transaction parties' financial strength with regard to their respective roles; -- The expected consistency of the transaction's structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology; and -- Morningstar DBRS' long-term sovereign credit rating on the Kingdom of Spain, currently at A (high) with a Stable trend. TRANSACTION STRUCTURE The transaction includes an 11-month scheduled revolving period. During the revolving period, the originator may offer additional receivables that the Issuer will purchase, provided that the eligibility criteria and concentration limits set out in the transaction documents are satisfied. The revolving period may end earlier than scheduled if certain events occur, such as the originator's insolvency, the servicer's replacement, or the breach of performance triggers. The transaction allocates payments on a combined interest and principal priority of payments and benefits from an amortizing cash reserve equal to 1.5% of the Rated Notes outstanding balance, subject to a floor of 0.5% of the initial Rated Notes amount. The cash reserve is part of the interest funds available to cover shortfalls in senior expenses, senior swap payments, and interest on the Class A, Class B, Class C, and Class D Notes and, if not deferred, the Class E Notes. The repayment of the Rated Notes after the end of the revolving period will be on a pro rata basis until a sequential amortization event. Upon the occurrence of a subordination event, the repayment of the Notes will switch to a nonreversible sequential basis. The unrated Class F Notes will begin amortizing immediately after transaction closing during the revolving period with a target amortization equal to 10% of the initial balance on each payment date. Interest and, if applicable, principal payments on the Notes will be made quarterly. The weighted-average portfolio yield is 6.8%, which is one of the portfolio concentration limits during the revolving period. TRANSACTION COUNTERPARTIES Santander is the account bank for the transaction. Morningstar DBRS has a public Long-Term Issuer Rating, a public Long-Term Senior Debt Rating and a Public Long-Term Deposits Rating of A (high) and a public Long-Term Critical Obligation Rating of AA with a Stable Trend on Santander, which meet the criteria to act in this capacity. Based on the downgrade provisions outlined in the transaction documents, and other mitigating factors 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 Rated Notes. Santander is also the swap counterparty for the transaction. Morningstar DBRS has public ratings on Santander as mentioned above, which meet Morningstar DBRS' criteria with respect to its role. The transaction also has downgrade provisions that are largely consistent with Morningstar DBRS' criteria. PORTFOLIO ASSUMPTIONS Morningstar DBRS established a lifetime expected default of 4.5%, reflecting the historical performance of each loan type, standard loans and preapproved loans. Morningstar DBRS also constructed a portfolio expected recovery of 15.0% or a loss given default (LGD) of 85.0%. 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 class of the Rated Notes are the related interest amounts and the initial principal amount outstanding. Notes: All figures are in euros unless otherwise noted. =========== S W E D E N =========== NORDIC PAPER: Fitch Assigns B+(EXP) LongTerm IDR, Outlook Positive ------------------------------------------------------------------ Fitch Ratings has assigned Nordic Paper Holding AB an expected Long-Term Issuer Default Rating (IDR) of 'B+(EXP)', with a Positive Outlook. Fitch has also assigned an expected senior secured rating of 'BB-(EXP)', with a Recovery Rating of 'RR3', to Nordic Paper's proposed term loan B (TLB). The assignment of final ratings is contingent on the receipt of final documents conforming to information already received. The IDR is constrained by negative free cash flow (FCF) for 2024-2026, capex execution risk and limited scale and product diversification. Rating strengths are its healthy and resilient profitability, supported by its exposure to the non-cyclical food sector. The Positive Outlook reflects its expectations of improvement in EBITDA margins, FCF generation and leverage from 2026, after the timely completion of Backhammer plant investments in 2026, which may result in an upgrade. Key Rating Drivers Healthy Profitability: Fitch expects Nordic Paper's robust profitability to further improve to around 20% from 2027, versus its historical 15%-18% range. This reflects the positive effect of the completion of the Backhammer plant investment programme in 2026, enhanced pricing for natural greaseproof paper by 2028, streamlined production processes and procurement savings in areas such as chemicals and logistics. Capex Raises Execution Risk: Fitch expects Nordic Paper's capex will remain high in 2025-2027, of which a major part will be allocated to the Backhammer plant. The company expects the investments to contribute SEK100 million EBITDA from 2026, while its rating case assumes slightly less. Fitch expects its business profile and production sustainability to benefit, but execution risk remains material. Temporarily Negative FCF: Fitch expects FCF to be deeply negative during 2025-2026 at SEK1.2 billion, due primarily to its capex programme, but also by a one-off potential dividend of up to SEK814 million in 2025 as part of its current refinancing. Fitch forecasts that the FCF margin will improve materially in 2027 and 2028 to the high-single digits following the completion of Backhammer plant capex and on improved EBITDA generation. Leverage Metrics to Improve: Fitch forecasts EBITDA gross leverage will increase to a Fitch-defined 3.6x by end- 2025, after its new capital structure is implemented, and will remain high, at about 3.0x in 2026-2027. Fitch expects leverage to improve to around 2.7x in 2028, with EBITDA interest coverage rising to around 5.2x, supported by higher EBITDA and FCF generation from 2027. Its estimates are based on the assumptions of no debt-funded acquisitions or additional dividend payouts in 2026-2028. Limited Scale and Diversification: Nordic Paper's small size relative to most Fitch-rated paper and packaging peers, exposes the company to heightened risks during market shocks and considering the inherent industry cyclicality. Product diversification is limited to natural greaseproof and kraft paper products, but Fitch recognises the premium quality of its product offering, the solid growth potential of its reference markets and its improving market position. Resilient Performance Through the Cycle: The company's large exposure (over 65% of revenues) to non-cyclical food applications underpins its historically steady revenue streams, EBITDA and FCF generation. Fitch expects those trends to continue and be supported by structural demand drivers, such as consumers' increasing preference for paper, as opposed to plastic packaging products, and a supportive regulatory environment. Peer Analysis Nordic Paper is larger than Fischbach Midco III GmbH (B/Stable) and smaller than other Fitch-rated 'B' category peers, such as Fedrigoni S.p.A. (B+/Negative) and Reno de Medici S.p.A. (RDM, B/Negative). Nordic's financial profile is supported by higher EBITDA margins (17.1% in 2024) than those of many Fitch-rated 'B' and 'BB' category packaging peers, such as Fedrigoni (12.4% in 2024), RDM (9.6% in 2024) and Sappi Limited (BB+/Stable; 12% in 2024). Nordic's EBITDA leverage, after the TLB issue is expected at 3.6x in 2025, which will be lower than Fedrigoni's 7.0x), RDM's 8.8x and Fischbach's 5.0x. Nordic's FCF in 2025-2026 is anticipated to be negative, while Fedgrigoni and Fishcbach are expected to generate positive FCF. Key Assumptions Kraft paper volumes to expand by an average 1% a year in 2025-2028; natural greaseproof volumes to increase by 1% in 2025-2028. Stable pricing in line with inflation at 1%-3% a year. Fibre cost per kiloton to keep increasing in 2025, in line with 2024 market trends. Fibre and pulp cost per kilton in line with stable inflation of about 2% a year from 2026. Annual energy costs to rise in line with inflation, at about 2%. New wood room and electrostatic filter allowing for flexible sourcing of wood and lower energy costs to deliver SEK90 million in EBITDA from 2026. No M&A assumed. No further dividends assumed in 2026-2028, after a potential payment of up to SEK814 million in 2025. Maintenance capex at 3% of revenues, in line with historical levels. Growth capex mostly for Backhammar plant, with SEK430 million in 2024, SEK390 million in 2025 and SEK30 million in 2026. Recovery Analysis The recovery analysis assumes that Nordic Paper would be reorganised as a going concern in bankruptcy rather than liquidated. A 10% administrative claim. For the purpose of recovery analysis, Fitch assumed that debt comprises the SEK2,987 million senior secured TLB, and a SEK736 million senior secured revolving credit facility (RCF; assumed fully drawn). Its going concern EBITDA estimate of SEK525 million reflects Fitch's view of a sustainable, post-reorganisation EBITDA level on which Fitch bases the company's enterprise valuation. This incorporates a successful capex plan, but also a loss of a major customer and a failure to broadly pass on raw material cost inflation to customers. The assumption also reflects corrective measures taken in reorganisation to offset the adverse conditions that trigger its default. A multiple of 5.0x is applied to the going concern EBITDA to calculate a post-re-organisation enterprise value. It mainly reflects Nordic Paper's leading position in its growing niche markets, supported by strong long-term customer relationships, which is balanced against its fairly small size and limited product diversification. Its analysis resulted in a waterfall-generated recovery computation in the 'RR3' band, indicating a 'BB-' instrument rating, one notch above the IDR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade EBITDA gross leverage above 5.0x on a sustained basis EBITDA interest coverage consistently below 2.5x Inability to generate positive FCF on a sustained basis Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade EBITDA gross leverage sustainably below 4.0x FCF margins above 4% on a sustained basis EBITDA interest coverage above 3.5x Completion of the Backhammer plant capex programme yielding expected operational synergies Liquidity and Debt Structure Nordic Paper's liquidity, after the TLB issue, will comprise an SEK736 million senior secured RCF, fully undrawn, and a SEK2,987 million senior secured TLB, due in 2032. Fitch expects negative FCF margins in 2025-2026, due to the large capex programme, and then mid-to-high single-digit FCF margins from 2027. There will be no large short-term debt maturities. Issuer Profile Nordic Paper is a producer of specialty paper with a Scandinavian-focused production footprint and a global sales reach in over 80 countries, with Europe (66% of revenues) and North America (19%) as its major markets. 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 Nordic Paper has an ESG Relevance Score of '4[+]' for Exposure to Social Impacts due to consumer preference shift to more sustainable packaging solutions such as paper packaging, which has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. Entity/Debt Rating Recovery ----------- ------ -------- Nordic Paper Holding AB LT IDR B+(EXP) Expected Rating senior secured LT BB-(EXP) Expected Rating RR3 NORDIC PAPER: S&P Assigns Prelim. 'B' ICR, Outlook Stable --------------------------------------------------------- S&P Global Ratings assigned its preliminary 'B' issuer credit rating to Nordic Paper Holding AB, a Swedish producer of kraft and greaseproof paper. S&P also assigned its preliminary 'B' issue rating and preliminary '3' recovery rating to the proposed EUR275 million term loan B (TLB). S&P said, "The stable outlook on Nordic Paper reflects our expectation that S&P Global Ratings-adjusted debt to EBITDA will near 3.7x at year-end 2025 and improve toward 3.2x by year-end 2026 on the back of EBITDA growth supported by activities at the Bäckhammar mill. The outlook also reflects our forecast of substantial expansionary capital expenditure, leading to negative free operating cash flow of SEK82 million in 2025 before recovery to positive SEK22 million in 2026." In January 2025, private equity house Strategic Value Partners, LLC bought 85.7% of Nordic Paper Holding AB, a Swedish producer of kraft and greaseproof paper. Nordic Paper plans to raise a seven-year EUR275 million senior secured term loan B (TLB) and a EUR65 million 6.5-year senior secured revolving credit facility (RCF). It will put about EUR227 million (roughly SEK2,462 million) of the proceeds toward the repayment of a bridge loan, shareholder dividends, and transaction fees, then leave the remaining EUR48 million as cash on balance sheet. S&P said, "Our preliminary 'B' rating on Nordic Paper reflects the company's plans to raise a senior secured EUR275 million TLB due in 2032 and a EUR65 million multi-currency RCF due in 2031. Proceeds will repay a SEK1,548 million bridge loan put in place in early 2025 to refinance existing debt after change of control provisions were triggered. The funds will also support a SEK814 million payment to shareholders, mainly Strategic Value Partners, LLC (SVP), whose acquisition of an 85.7% stake in the group in January 2025 was funded entirely with equity. The remainder will fund cash on the balance sheet and transaction fees. The proposed EUR65 million RCF is assumed undrawn at closing. "We anticipate that, in 2025, S&P Global Ratings-adjusted debt to EBITDA will be around 3.7x and funds from operations (FFO) to debt will stand near 16%. We forecast stronger debt metrics for 2026, due to volume growth and a SEK100 million EBITDA uplift from investments at the Bäckhammar mill. For 2026, we forecast adjusted debt to EBITDA of 3.2x and FFO to debt of 19%-20%. We assess Nordic Paper's financial risk profile as highly leveraged, given its financial sponsor ownership. Although our projections could be in line with a stronger financial risk profile, our assessment is constrained by the group's ownership since we think SVP may pursue transactions that lead to a higher leverage. We forecast negative free operating cash flow (FOCF) of SEK82 million in 2025 and positive SEK22 million in 2026 due to large investments (mainly in the Bäckhammar mill). Per our criteria, we do not net cash available from our debt calculations, given the financial sponsor ownership. S&P forecasts improved FOCF of about SEK290 million in 2027. The improvement in FOCF (from SEK22 million in 2026) will largely stem from a 50% reduction in capital expenditure (capex) in 2027 toward SEK298 million (from SEK594 million in 2026). This reflects a reduction in growth capex from SEK430 million to SEK135 million on the back of the completion of the bulk of scheduled investments in the Bäckhammar site. This will also be supported by EBITDA growth due to volume gains and the contribution from the expansionary investments completed in 2025-2026. Nordic Paper's business risk profile is supported by leading positions in broadly stable niche markets with modest growth prospects. The group is the main producer of natural greaseproof paper in Europe and the leader in niche premium applications in the unbleached kraft paper products (such as premium sack paper, machine finished paper, machine glazed paper, and absorbent paper). S&P thinks growth in the kraft paper market will continue to be supported by the move away from plastics and growing demand for e-commerce. Natural greaseproof benefits from the fact that the reputation of chemically coated greaseproof paper has been tarnished by health concerns. Nordic Paper has a strong exposure to the relatively stable food market, which accounted for about two-thirds of its sales in 2024. Nordic Paper's vertical integration into pulp production and its proximity to wood and pulp suppliers also support its business risk profile. Nordic Paper produces pulp in Bäckhammar, rendering its kraft paper operations fully self-sufficient, in terms of pulp. The remainder of the pulp is used to make greaseproof paper in Säffle. Additional pulp is purchased externally, mostly in Sweden. Considering Nordic Paper's main raw materials are wood and pulp, S&P views its proximity to Scandinavian and North American suppliers as credit positive. The group's profitability is underpinned by its pricing power in greaseproof paper. The group's average S&P Global Ratings-adjusted EBITDA margins of around 19% are above those of industry peers. S&P thinks the group has some pricing power in greaseproof paper, where it can pass increases in raw material costs to customers via quarterly price reviews. In contrast, in the more commoditized kraft paper segment, selling prices follow supply-demand dynamics, and not necessarily changes in input costs. S&P said, "We see Nordic Paper's long-standing relationships with customers and its manufacturing footprint as credit positive. Nordic Paper's customers are mainly converters. The group focuses exclusively on paper manufacturing and has no converting operations. We think this supports its strong relationships with customers, as they do not compete against each other. We see the group's manufacturing footprint in Sweden, Norway, and Canada as small, but somewhat diversified. That said, its operations in Bäckhammar are by far the largest and represent close to 50% of its paper capacity." That said, business risks could emerge from the company's limited scale, reliance on Europe (66% of sales), and a low product and end-market diversification. Nordic Paper is one of the smallest issuers in S&P's rated forest and paper products portfolio. In 2024, Nordic Paper reported revenue of SEK4,668 million and an S&P Global Ratings-adjusted EBITDA of SEK817 million. With only two product categories, the group has a relatively narrow product range. End-market diversity is also low, but this is offset by the relatively stable nature of the food market (64% of sales in 2024). Industrial uses and consumer products represent 30% and 6%, respectively, of sales. S&P does not rule out new capacity additions in the greaseproof paper market. Despite some barriers to entry, such as high capex requirements for greenfield projects and the benefits of some vertical integration into pulp, some players have announced their intention to expand or enter this segment (mainly through the conversion of paper machines), due to its growth prospects. At 3%-4%, greaseproof paper expected growth rates are above those of more traditional paper segments. S&P said, "The final ratings will depend on our receipt and satisfactory review of all final transaction documentation. Accordingly, the preliminary ratings should not be construed as evidence of final ratings. If S&P Global Ratings does not receive final documentation within a reasonable time frame, or if final documentation departs from materials reviewed, we reserve the right to withdraw or revise our ratings. Potential changes include, but are not limited to, use of loan proceeds, maturity, size and conditions of the loans, financial and other covenants, security, and ranking. "The stable outlook reflects our expectation that Nordic Paper's debt to EBITDA, as adjusted by S&P Global Ratings, will near 3.7x at year-end 2025 and improve toward 3.2x by year-end 2026, on the back of EBITDA growth supported by activity at the Bäckhammar mill. The outlook also reflects our forecast of negative FOCF of SEK82 million in 2025, because of substantial expansionary capex, then positive SEK22 million in 2026." S&P could consider a negative rating action if Nordic Paper's: -- FOCF remains negative or minimal on a sustained basis after 2026, potentially due to weakening market conditions, lower-than-expected pricing power, or a lower-than-forecast contribution from investments; or -- Financial policy becomes more aggressive, characterized by large debt-funded acquisitions, financial transactions (including material sale & lease back transactions or factoring facilities), or substantial dividend payments that materially deteriorate its credit metrics. S&P thinks an upgrade is unlikely in the next 12 months, given Nordic Paper's financial sponsor ownership. However, beyond that period, S&P could raise its rating if: -- There was a material improvement in the business' risk profile (for instance in terms of scale and cash generation); -- Nordic Paper and its sponsor established a track record of strong credit metrics such as substantial FOCF on a sustained basis while adjusted debt to EBITDA remains below 4x; and -- S&P observes a strong commitment from Nordic Paper's sponsor to adhering to such metrics. ============= U K R A I N E ============= UKRAINE: S&P Affirms 'SD/SD' Foreign Curr. Sovereign Credit Ratings ------------------------------------------------------------------- S&P Global Ratings, on June 3, 2025, affirmed its 'SD/SD' (selective default) long- and short-term foreign currency and 'CCC+/C' long- and short-term local currency sovereign credit ratings on Ukraine. The outlook on the 'CCC+' long-term local currency rating remains stable. As "sovereign ratings" (as defined in EU CRA Regulation 1060/2009 "EU CRA Regulation"), the ratings on Ukraine are subject to certain publication restrictions set out in Art 8a of the EU CRA Regulation, including publication in accordance with a pre-established calendar. Under the EU CRA Regulation, deviations from the announced calendar are allowed only in limited circumstances and must be accompanied by a detailed explanation of the reasons for the deviation. In this case, the reason is the missed payment on the GDP-linked securities. The next scheduled publication on the sovereign rating on Ukraine is Sept. 5, 2025. Outlook S&P does not assign an outlook to our long-term FC rating on Ukraine, since the rating is 'SD'. The stable outlook on the long-term LC rating balances significant fiscal pressures against the government's incentives to service Ukrainian hryvnia-denominated debt to avoid distress to domestic banks, the primary holders of the government's LC bonds. Downside scenario S&P could lower the LC ratings if it sees indications that hryvnia-denominated obligations could go unpaid or face restructuring. Upside scenario S&P said, "We could raise our long-term FC rating if we expected that no further broad resolution of the outstanding defaulted obligations would occur and that the ability of debtholders with untendered debt to materially disrupt the issuer's financial ability was limited. Our analysis will incorporate our forward-looking view on the sovereign's post-default credit factors. "We could raise the LC ratings if Ukraine's security environment and medium-term macroeconomic outlook improve." Rationale The rating actions reflect the missed US$0.67 billion payment on Ukraine's 2041 GDP-linked securities (XS1303929894). S&P said, "We do not expect the payment within the contractual grace period of 10 business days. We base this view on the government's statement that it will not make the payment in light of the existing moratorium on payments on these securities and other non-restructured commercial debt obligations until these obligations are restructured." The past and ongoing restructuring effort aims to ease external debt service pressure and restore public debt sustainability as part of the ongoing Extended Fund Facility arrangement with the IMF. The government has suspended payments on debt liabilities not restructured in September 2024, when it exchanged the majority of its Eurobonds for new securities. The remaining foreign commercial debt that was not included in the 2024 debt exchange includes GDP-linked securities, a foreign commercial bank loan, and a sovereign-guaranteed Eurobond of the state-owned power-utility company. S&P understands that the government has been in restructuring talks with creditors and--due to the moratorium--by now has missed payments on all three obligations when they were due. These obligations taken together account for some 6% of total commercial debt and below 3% of the total government debt stock. S&P said, "In our view, the government's ability and medium-term incentives to meet its financial commitments in LC are somewhat higher than those relating to FC debt. Hryvnia-denominated debt is primarily held by the National Bank of Ukraine and domestic banks, half of which are state owned. A default on these LC obligations would amplify banking sector distress, increasing the likelihood that the government would have to provide the banks with financial support and limiting the benefits of debt relief. Hryvnia-denominated debt is outside the existing restructuring effort." =========================== U N I T E D K I N G D O M =========================== ALDBROOK MORTGAGE 2025-1: DBRS Finalizes BB Rating on E Notes ------------------------------------------------------------- DBRS Ratings Limited has finalized its provisional credit ratings on the bonds to be issued by Aldbrook Mortgage Transaction 2025-1 plc (the Issuer) as follows: -- Class A Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (low) (sf) -- Class E Notes at BB (sf) The credit rating on the Class A notes addresses the timely payment of interest and the ultimate repayment of principal on or before the final maturity date in December 2066. The credit ratings on the Class B, Class C, Class D, and Class E notes address the timely payment of interest once they are the senior-most class of notes outstanding and, until then, the ultimate payment of interest and the ultimate repayment of principal on or before the final maturity date. Morningstar DBRS does not rate the Class X notes also issued in this transaction. CREDIT RATING RATIONALE The transaction represents the issuance of UK residential mortgage-backed securities (RMBS) backed by first-lien mortgage loans. The portfolio has been originated and will be serviced by The Mortgage Lender Limited (TML). In 2021, TML was acquired by Shawbrook Bank Limited (Shawbrook or the Seller), the Seller and sponsor of the transaction. The portfolio is mainly composed of buy-to-let (BTL) mortgages (80%) and has a weighted-average (WA) original loan-to-value ratio (OLTV) of 74.2% and WA seasoning of one year. The initial WA coupon of the portfolio of 5.7% and the pool will benefit from a reversionary margin above the Bank of England Rate of about 4.2%. The Issuer has issued five tranches of collateralized mortgage-backed securities (the Class A, Class B, Class C, Class D, and Class E notes) to finance the purchase of the initial portfolio. Additionally, the Issuer has issued one class of noncollateralized notes, the Class X notes, the proceeds of which the Issuer will partly use to fund the general reserve fund (GRF) and the liquidity reserve fund (LRF). The LRF will be available to cover shortfalls of senior fees and interest on the Class A and Class B notes. The LRF will be amortizing and will be sized at closing at 1.0% of the initial Class A and Class B notes. On each interest payment date (IPD), the target level will be 1.0% of the current amount outstanding of the Class A and Class B notes until the Class B notes have redeemed, at which point the target amount shall be zero. The amortization of the LRF would stop if either: (1) the collateralized notes are not redeemed in full at the first optional redemption date or (2) the cumulative defaults are greater than 5% of the closing portfolio balance. The GRF will provide liquidity and credit support to the rated notes. The GRF will have a target amount on each IPD equal to 1.0% of the initial collateralized notes balance minus the LRF target amount until the collateralized notes have been fully redeemed, at which point the target amount shall be zero. The GRF will be available to cover shortfalls on senior fees, interest, and any principal deficiency ledger (PDL) debits on the Class A to Class E notes after the application of revenue available funds and LRF draws. The amortization of the GRF is subject to the same conditions of the LRF amortization. On the final maturity date, all amounts held in the GRF will form part of available principal funds and the GRF target will be zero. Citibank, N.A., London Branch is the account bank in the transaction and will hold the Issuer's transaction account, the GRF, the LRF (all held in the Deposit Account), and a separate swap collateral account. Barclays Bank plc is the collection account bank in the transaction. Lloyds Bank Corporate Markets plc will act as the swap counterparty of the transaction. The transaction documents feature credit rating triggers for the aforementioned counterparties, which if breached shall trigger remedial actions, in line with our Legal and Derivative Criteria for European Structured Finance Transactions methodology. Morningstar DBRS based its credit ratings on a review of the following analytical considerations: -- The transaction's capital structure, including the form and sufficiency of available credit enhancement. -- The credit quality of the mortgage loan portfolio and the ability of the parties to perform servicing and collection activities. -- Morningstar DBRS' calculated probability of default, loss given default (LGD), and expected loss assumptions on the portfolio using the European RMBS Insight Model. -- The ability of the transaction to withstand stressed cash flow assumptions and repay the noteholders according to the terms and conditions of the notes. Morningstar DBRS analyzed the transaction cash flows using Intex DealMaker. -- The consistency of the transaction's legal structure with Morningstar DBRS' Legal and Derivative Criteria for European Structured Finance Transactions methodology and the presence of legal opinions addressing the assignment of the assets to the Issuer. -- The relevant counterparties, as rated by Morningstar DBRS, being appropriately in line with Morningstar DBRS' legal criteria to mitigate the risk of counterparty default or insolvency. -- The structural mitigants in place to avoid potential payment disruptions caused by operational risk, such as downgrade and replacement language in the transaction documents. -- Morningstar DBRS' sovereign credit rating on the United Kingdom of Great Britain and Northern Ireland of AA with a Stable trend as of the date of this report. 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 are the Class Balances and related Interest Amounts. Morningstar DBRS' credit ratings on the rated notes also address the credit risk associated with the increased rate of interest applicable to the rated notes if these are not redeemed on the Optional Redemption Date (as defined in and) in accordance with the applicable transaction document(s). Notes: All figures are in British pound sterling unless otherwise noted. ASIMI FUNDING 2025-1: DBRS Finalizes B Rating on Class E Notes -------------------------------------------------------------- DBRS Ratings Limited finalized provisional credit ratings on the following classes of notes (collectively, the Rated Notes) issued by Asimi Funding 2025-1 PLC (the Issuer): -- Class A Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (low) (sf) -- Class E Notes at B (sf) -- Class F Notes at B (low) (sf) -- Class X Notes at CCC (sf) Morningstar DBRS does not rate the Class G Notes (together with the Rated Notes, the Notes) also issued in the transaction. The credit ratings of 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 credit ratings of the Class C, Class D, Class E, Class F and Class X Notes address the ultimate payment of scheduled interest while the class is subordinate but the timely payment of scheduled interest when it is the most senior class, and the ultimate repayment of principal by the final maturity date. The transaction is a securitization of fixed-rate consumer loans granted by Plata Finance Limited (Plata or the seller) to private individuals residing in the United Kingdom. Plata is the initial servicer with Lenvi Servicing Limited (Lenvi) in place as the standby servicer for the transaction. CREDIT RATING RATIONALE Morningstar DBRS based its credit ratings 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 -- Morningstar DBRS' operational risk review of Plata's capabilities regarding originations, underwriting, servicing, position in the market, and financial strength -- The operational risk review of Lenvi regarding servicing -- The transaction parties' financial strength relative to their respective roles -- The consistency of the transaction's structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology -- Morningstar DBRS' long-term sovereign credit rating on the United Kingdom of Great Britain and Northern Ireland, currently AA with a Stable trend TRANSACTION STRUCTURE The transaction is static and allocates collections in separate interest and principal priorities of payments. The transaction benefits from two reserves initially funded with the Notes proceeds: (1) the Class A liquidity reserve fund equal to 2% of the outstanding Class A notes balance, subject to a floor of 1% of the initial Class A notes balance, which as part of interest available funds can be used to cover senior expenses, servicing fees, senior hedging payments, interest payments on the Class A Notes, and the Class A principal deficiency ledger (PDL) and (2) the general reserve fund equal to 1.5% of the outstanding Rated Notes balance (excluding the Class X Notes) minus the Class A liquidity reserve fund target amount, subject to a floor of GBP 500,000, which as part of interest available funds can be used to cover senior expenses, servicing fee, senior hedging payments, and interest payments on the Rated Notes (excluding the Class X Notes). In addition, there is a late delinquency loss reserve fund, which will be funded in the transaction interest waterfalls for loans 90 or more days past due that are not defaulted. If the interest collections and these three reserves are not sufficient, principal funds can also be reallocated to cover senior expenses, servicing fee, senior hedging payments, interest payments on the most senior class of Notes (excluding the Class X Notes), and related Class PDL. Morningstar DBRS considers the interest rate risk for the transaction to be somewhat limited as an interest rate swap is in place to reduce the mismatch between the fixed-rate collateral and the floating-rate Notes. However, only around 66% of the portfolio at closing is hedged with a predefined notional amount. Under the terms of the swap agreement, the Issuer pays a gradually increasing swap rate over time, which further compress excess spread during the later stages of the transaction. TRANSACTION COUNTERPARTIES Barclays Bank PLC (Barclays) is both the account bank and hedge provider for the transaction. Morningstar DBRS has a Long-Term Issuer Rating of "A" on Barclays, which meets the Morningstar DBRS criteria to act in these capacities. The transaction documents contain downgrade provisions consistent with Morningstar DBRS' criteria. PORTFOLIO ASSUMPTIONS As the performance data of Plata's loans is limited, another proxy dataset was provided to Morningstar DBRS for analysis. This dataset consists of more seasoned loans originated by a related entity, Bamboo Limited (Bamboo), under similar underwriting criteria but with higher annual percentage rates (APRs) than those of Plata loans. Considering the available historical data and benchmarking of comparable European unsecured consumer loan portfolios, Morningstar DBRS established a lifetime expected default of 14%. Similarly, Morningstar DBRS set the expected recovery at 15% or a loss given default (LGD) of 85%, comparable with other UK consumer loan portfolios. 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 are the related Interest Amounts and the Class Balances. Notes: All figures are in British pound sterling unless otherwise noted. BLETCHLEY PARK 2025-1: DBRS Gives (P) CCC Rating on X2 Notes ------------------------------------------------------------ DBRS Ratings Limited assigned provisional credit ratings to the bonds to be issued by Bletchley Park Funding 2025-1 PLC (the Issuer) as follows: -- Class A Notes at (P) AAA (sf) -- Class B Notes at (P) AA (low) (sf) -- Class C Notes at (P) A (low) (sf) -- Class D Notes at (P) BBB (low) (sf) -- Class E Notes at (P) BB (low) (sf) -- Class X1 Notes at (P) B (low) (sf) -- Class X2 Notes at (P) CCC (sf) The provisional credit rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal on or before the final maturity date in January 2070. The provisional credit ratings on the Class B, Class C, Class D, and Class E notes address the timely payment of interest once they are the most senior class of notes outstanding and, until then, the ultimate payment of interest and the ultimate repayment of principal on or before the final maturity date. The provisional credit ratings on the Class X1 and Class X2 notes address the ultimate payment of interest and principal on or before the final maturity date. Morningstar DBRS does not rate the residual certificates also expected to be issued in this transaction. CREDIT RATING RATIONALE The transaction represents the issuance of residential mortgage-backed securities (RMBS) backed by first-lien, buy-to-let (BTL) mortgage loans granted by Quantum Mortgages Limited (QML or the Originator) in the UK. The Issuer is a bankruptcy-remote special-purpose vehicle (SPV) incorporated in the UK. This is QML's second RMBS transaction, with the inaugural transaction, Bletchley Park Funding 2024-1, closing in August 2024. QML is a UK specialist property finance lender that has been offering loans to customers in England, Wales, and Northern Ireland since May 2022. QML's BTL business targets professional portfolio landlords, often real estate companies or SPVs, which it acquires through the broker marketplace. The Issuer is expected to issue five tranches of collateralized mortgage-backed securities (the Class A, Class B, Class C, Class D, and Class E notes) to finance the purchase of the portfolio. Additionally, the Issuer is expected to issue two classes of noncollateralized notes (the Class X1 and Class X2 Notes). The transaction is structured to initially provide 12.75% of credit enhancement to the Class A notes. This includes subordination of the Class B to the Class E notes. The transaction features a fixed-to-floating interest rate swap, given that nearly the entire pool (99.5% by loan balance) is composed of fixed-rate loans with a compulsory reversion to floating-rate in the future. The liabilities will pay a coupon linked to the daily compounded Sterling Overnight Index Average. NatWest Markets Plc (NatWest) will be appointed as the swap counterparty as of closing. Based on Morningstar DBRS' credit rating on NatWest (A (high) with a Stable trend), the downgrade provisions outlined in the documents, and the transaction structural mitigants, Morningstar DBRS considers the risk arising from the exposure to the swap counterparty to be consistent with the credit ratings assigned to the rated notes as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Citibank, N.A., London Branch (privately rated by Morningstar DBRS) will act as the issuer account bank in the transaction and will hold the Issuer's transaction account, the liquidity reserve fund (LRF), and the swap collateral account, while Barclays Bank PLC will be appointed as the collection account bank. Morningstar DBRS has a Long Term Critical Obligations Rating of AA (low) and a Long-Term Issuer Rating of "A" on Barclays Bank PLC, both with Stable trends. Both entities meet the eligible credit ratings in structured finance transactions and are consistent with the credit ratings assigned to the rated notes as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Liquidity in the transaction is provided by an LRF, which is amortizing and sized at the lower of 1.4% of the Class A and Class B notes' balance at closing and 2.0% of the Class A and Class B notes' outstanding balance. It covers senior costs and expenses, swap payments, and interest shortfalls for the Class A and Class B notes. The LRF will be fully funded at closing a using part of the Class X1 and Class X2 Notes' issuance proceeds and through excess spread thereafter. Any liquidity reserve excess amount will be applied as available principal receipts, and the reserve will be released in full once the Class B Notes are fully repaid. In addition, the Issuer can use principal to cover senior costs and expenses, swap payments, and interest on the most senior class of notes outstanding and on the Class B to Class E notes provided their relevant principal deficiency ledger is not greater than 10% of the respective class outstanding principal amount. Principal can be used once the LRF has been exhausted. Interest shortfalls on the Class B to Class E notes, as long as they are not the most senior class outstanding, may be deferred and not be recorded as an event of default until the final maturity date or such earlier date on which the notes are fully redeemed or become the most senior class. Interest shortfalls on the Class X1 and Class X2 Notes can be deferred until the notes' redemption or maturity. Morningstar DBRS based its credit ratings on a review of the following analytical considerations: -- The transaction's capital structure, including the form and sufficiency of available credit enhancement; -- The credit quality of the mortgage portfolio and the servicer's ability to perform collection and resolution activities. Morningstar DBRS estimated stress-level probability of default (PD), loss given default (LGD), and expected losses (EL) on the mortgage portfolio. Morningstar DBRS used the PD, LGD, and EL as inputs into the cash flow engine and analyzed the mortgage portfolio in accordance with its "European RMBS Insight Methodology"; -- The transaction's ability to withstand stressed cash flow assumptions and repay the Class A, Class B, Class C, Class D, Class E, Class X1, and Class X2 notes according to the terms of the transaction documents; -- The structural mitigants in place to avoid potential payment disruptions caused by operational risk, such as a downgrade, and replacement language in the transaction documents; -- Morningstar DBRS' sovereign credit rating on the United Kingdom of Great Britain and Northern Ireland of AA with a Stable trend as of the date of this press release; and -- The expected consistency of the transaction's legal structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology and the presence of legal opinions that are expected to address the assignment of the assets to the Issuer. 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 Amounts and the related Class Balances. Notes: All figures are in British pound sterling unless otherwise noted. CASTELL PLC 2025-1: DBRS Finalizes BB Rating on Class E Notes ------------------------------------------------------------- DBRS Ratings Limited finalized its provisional credit ratings on the residential mortgage-backed notes to be issued by Castell 2025-1 PLC (the Issuer) as follows: -- Class A Notes at AAA (sf) -- Class B Notes at AA (sf) -- Class C Notes at A (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BB (sf) -- Class F Notes at BB (low) (sf) -- Class X1 Notes at BB (high) (sf) The credit ratings assigned to the Class B, Class C, Class D, Class E, and Class F Notes differ from the previously assigned credit ratings of AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf) and B (sf), respectively. This is mainly because of the lower-than-expected margins of the liabilities, which improved the cash flow analysis of these notes in Morningstar DBRS' rating stress scenarios. The credit rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal on or before the final maturity date in January 2062. The credit ratings on the Class B, Class C, Class D, Class E, and Class F Notes address the timely payment of interest once they are the senior-most class of notes outstanding, otherwise the ultimate payment of interest and the ultimate repayment of principal on or before the final maturity date. The credit rating on the Class X1 Notes addresses the ultimate payment of interest and principal. Morningstar DBRS does not rate the Class G, Class H, and Class X2 Notes or the residual certificates also expected to be issued in this transaction. CREDIT RATING RATIONALE The Issuer is a bankruptcy-remote, special-purpose vehicle incorporated in England and Wales. The notes issued funded the purchase of UK second-lien mortgage loans originated by UK Mortgage Lending Limited (UKMLL). Pepper (UK) Limited (Pepper) is the primary and special servicer of the portfolio. UKMLL, established in November 2013 as Optimum Credit Limited, is a specialist provider of second-lien mortgages based in Cardiff, Wales. Both UKMLL and Pepper are part of the Pepper Group Limited, a worldwide consumer finance business, third-party loan servicer, and asset manager. Law Debenture Corporate Services Limited acts as the backup servicer facilitator for the transaction. The mortgage portfolio consists of GBP 287.3 million in second-lien owner-occupied mortgages secured by properties in the UK. The transaction includes a prefunding mechanism where the seller has the option to sell the mortgage loans to the Issuer subject to certain conditions to prevent a material deterioration in credit quality (the Conditions for Acquisition of Additional Mortgage Loans). As of the 31 March 2025 reference date, the mortgages loans expected to be acquired in this transaction amounted to GBP 51.0 million. The acquisition of these assets will occur before the second interest payment date using the proceeds standing to the credit of the prefunding reserves. Any funds that are not applied to purchase additional loans will flow through the pre-enforcement principal priority of payments and pay down the notes on a pro rata basis. The Issuer issued eight tranches of collateralized mortgage-backed securities (the Class A Notes as well as the Class B, Class C, Class D, Class E, Class F, Class G, and Class H Notes) to finance the purchase of the portfolio and the prefunding principal reserve ledger at closing. The Issuer also issued two classes of noncollateralized notes, the Class X1 and Class X2 Notes. The transaction is structured to initially provide 24.60% of credit enhancement to the Class A Notes comprising subordination of the Class B to Class H Notes. The transaction features a fixed-to-floating interest rate swap, given the significant portion of fixed-rate loans (with a compulsory reversion to floating in the future), while the liabilities will pay a coupon linked to the daily compounded Sterling Overnight Index Average. The swap counterparty is Lloyds Bank Corporate Markets PLC (Lloyds). Based on Morningstar DBRS' private credit rating on Lloyds, the downgrade provisions outlined in the documents, and the transaction's structural mitigants, Morningstar DBRS considers the risk arising from the exposure to Lloyds to be consistent with the credit ratings assigned to the rated notes as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Citibank N.A./London Branch acts as the Issuer Account Bank and National Westminster Bank Plc as the Collection Account Bank. Morningstar DBRS privately rates both entities and considers them to meet the eligible credit ratings in structured finance transactions and to be consistent with the credit ratings assigned to the rated notes as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Liquidity support is provided by a liquidity reserve fund (LRF), which will cover senior costs and expenses as well as interest shortfalls on the Class A and Class B Notes. The LRF is sized at 1.0% of the Class A and Class B Notes, and amortizes in line with these notes with no triggers. In addition, principal borrowing is also envisaged under the transaction documentation and can be used to cover senior costs and expenses as well as interest shortfalls on the Class A to Class H Notes; however, this will be subject to a principal deficiency ledger (PDL) condition which states that, if a given class of notes is not the most senior class outstanding, when a PDL debit of more than 10% of such class exists, principal borrowing will not be available. Interest shortfalls on the Class B to Class H Notes, as long as they are not the most senior class outstanding, will be deferred and will not be recorded as an event of default until the final maturity date or such earlier date on which the notes are fully redeemed. Morningstar DBRS based its credit ratings on a review of the following analytical considerations: -- The transaction's capital structure, including the 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 estimated stress-level probability of default (PD), loss given default (LGD), and expected losses (EL) on the mortgage portfolio. Morningstar DBRS used the PD, LGD, and EL as inputs into the cash flow engine. Morningstar DBRS analyzed the mortgage portfolio in accordance with its "European RMBS Insight Methodology". -- The transaction's ability to withstand stressed cash flow assumptions and repay the Class A, Class B, Class C, Class D, Class E, Class F, and Class X1 Notes according to the terms of the transaction documents. -- The structural mitigants in place to avoid potential payment disruptions caused by operational risk, such as a downgrade, and replacement language in the transaction documents. -- The sovereign credit rating of AA with a Stable trend on the United Kingdom of Great Britain and Northern Ireland as of the date of this press release. -- The expected consistency of the transaction's legal structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology and the presence of legal opinions that are expected to address the assignment of the assets to the Issuer. 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 amounts and the related class balances. Morningstar DBRS' credit ratings on the rated notes also address the credit risk associated with the increased rate of interest applicable to each of the rated notes if the rated notes are not redeemed on the Optional Redemption Date (as defined in and) in accordance with the applicable transaction documents. Notes: All figures are in British pound sterling unless otherwise noted. DRYDRINKER LTD: Oury Clark Named as Administrators -------------------------------------------------- Drydrinker Ltd was placed into administration proceedings in the High Court of Justice, Court Number: CR-2025-003736, and Nick Parsk and Carrie James of Oury Clark Chartered Accountants were appointed as administrators on June 2, 2025. Drydrinker Ltd are agents involved in the sale of food, beverages and tobacco. Its registered office is at the Health & Wellbeing Innovation Centre, Treliske, Truro, TR1 3FF Its principal trading address is at Unit 15, Ashford Business Complex, 166 Feltham Road, Ashford, TW15 1YQ The joint administrators can be reached at: Nick Parsk Carrie James Oury Clark Chartered Accountants Herschel House 58 Herschel Street, Slough Berkshire, SL1 1PG For further details contact: The Joint Administrators Email: IR@ouryclark.com Alternative contact: Emma Adams HERMITAGE 2025: DBRS Gives (P) BB(high) Rating on E Notes --------------------------------------------------------- DBRS Ratings Limited assigned provisional credit ratings to the following classes of notes (collectively, the Rated Notes) to be issued by Hermitage 2025 plc (the Issuer): -- Class A Notes at (P) AAA (sf) -- Class B Notes at (P) AA (sf) -- Class C Notes at (P) A (low) (sf) -- Class D Notes at (P) BBB (sf) -- Class E Notes at (P) BB (high) (sf) Morningstar DBRS does not rate the Class F Notes also expected to be issued in this transaction. The credit ratings on the Class A Notes and Class B Notes address the timely payment of scheduled interest and the ultimate repayment of principal by the final maturity date. The credit ratings on the Class C Notes and Class D Notes address the ultimate payment of scheduled interest (or timely when they are the most senior class of notes outstanding) and the ultimate repayment of principal by the final maturity date. The credit rating on the Class E Notes addresses the ultimate payment of scheduled interest and the ultimate repayment of principal by the final maturity date. The transaction is a securitization of a portfolio of equipment hire purchase and finance lease receivables granted by Haydock Finance Limited (Haydock, or the Seller) to borrowers incorporated in England, Scotland, and Wales. Haydock will also act as the initial servicer for the transaction (the Servicer). CREDIT RATING RATIONALE Morningstar DBRS based its provisional credit ratings on a review of the following analytical considerations: -- The transaction's structure, including 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 Haydock's portfolio, the characteristics of the collateral, its historical performance, and the Morningstar DBRS-projected behavior under various stress scenarios; -- Haydock's capabilities with regard to originations, underwriting, and servicing as well as its position in the market and financial strength; -- The operational risk review of Haydock, 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 and Derivative Criteria for European Structured Finance Transactions" methodology; and -- Morningstar DBRS' sovereign credit rating on the United Kingdom of Great Britain and Northern Ireland, currently at AA with a Stable trend. TRANSACTION STRUCTURE The transaction has a revolving period of nine months, during which additional receivables may be purchased subject to eligibility criteria and portfolio concentration limits. During the revolving period, the Issuer applies the available principal receipts in accordance with two separate principal and interest priorities of payments. Prior to a sequential amortization switch, principal is allocated on a pro rata basis. Following a sequential amortization switch, 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 on the principal deficiency ledger (PDL) and cumulative default ratio, the Seller not exercising the call option, or a shortage of the liquidity reserve required amount. Available revenue receipts are available to cover principal deficiencies, and, in certain scenarios, principal may be diverted to pay interest on the Class A Notes to the Rated Notes. The principal-to-interest mechanism is designed to cover senior interest shortfalls related to insufficient revenue receipts available to cover senior expenses and fees, as well as interest on the most-senior class of Rated Notes outstanding. Such principal-to-interest reclassifications, along with any defaults, are recorded on the applicable PDLs in a reverse-sequential order. The transaction benefits from a liquidity reserve fund (LRF) split into Class A/B, Class C, Class D, and Class E LRF ledgers. The Class A/B LRF ledger is fully funded at closing through a subordinated loan to 1.7% of the Class A and B Notes' balance and includes a minimum level of 0.3% of the initial outstanding balance of the Class A and B Notes. Following the redemption of the Class A and Class B Notes, the other reserve ledgers will be funded through excess spread up to 1.7% of their respective outstanding principal balance. COUNTERPARTIES U.S. Bank Europe DAC, U.K. Branch has been appointed as the Issuer's account bank for the transaction. Morningstar DBRS privately rates U.S. Bank Europe DAC, U.K. Branch and concluded that the bank meets the criteria to act in this capacity. The transaction documents are expected to contain downgrade provisions relating to the account bank consistent with Morningstar DBRS' criteria. Citibank Europe plc, UK Branch is expected to be appointed as the swap counterparty for the transaction. Morningstar DBRS maintains a public rating of AA (low) with a Stable trend on Citibank Europe plc and considers the UK branch to meet the criteria to act in this capacity. The hedging documents are expected to contain downgrade provisions consistent with Morningstar DBRS' criteria. 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 of the Rated Notes are the related interest and principal payments. Notes: All figures are in British pound sterling unless otherwise noted. LONDON BRIDGE 2025-1: DBRS Gives Prov. B Rating on Class F Notes ---------------------------------------------------------------- DBRS Ratings Limited assigned provisional credit ratings to the bonds to be issued by London Bridge Mortgages 2025-1 PLC (the Issuer) as follows: -- Class A Notes at (P) AAA (sf) -- Class B Notes at (P) AA (low) (sf) -- Class C Notes at (P) A (low) (sf) -- Class D Notes at (P) BBB (sf) -- Class E Notes at (P) BB (sf) -- Class F Notes at (P) B (sf) -- Class X Notes at (P) CCC (sf) The provisional credit rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal on or before the final maturity date in March 2067. The provisional credit ratings on the Class B, Class C, Class D, Class E, and Class F notes address the timely payment of interest once they are the senior-most class of notes outstanding and, until then, the ultimate payment of interest and the ultimate repayment of principal on or before the final maturity date. The provisional 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 residual certificates also expected to be issued in this transaction. CREDIT RATING RATIONALE The transaction represents the issuance of residential mortgage-backed securities (RMBS) backed by first-lien, owner-occupied, and buy-to-let mortgage loans granted by Vida Bank Limited (VBL or the Originator) in the UK. The Issuer is a bankruptcy-remote special-purpose vehicle incorporated in the UK. VBL (formerly Belmont Green Finance Limited) has issued several first-lien residential mortgage transactions under the Tower Bridge Funding shelf. This is the first transaction following the renaming of the originator. The most recent transaction rated by Morningstar DBRS is Tower Bridge Funding 2021-2 PLC. The Issuer is expected to issue six tranches of collateralized mortgage-backed securities (the Class A, Class B, Class C, Class D, Class E, and Class F notes) to finance the purchase of the portfolio. Additionally, the Issuer is expected to issue one class of noncollateralized notes (the Class X Notes). The transaction is structured to initially provide 14.0% of credit enhancement to the Class A notes. This includes subordination of the Class B to the Class F notes. The transaction features a fixed-to-floating interest rate swap, given that the entire pool is composed of fixed-rate loans with a compulsory reversion to floating-rate in the future. The liabilities will pay a coupon linked to the daily compounded Sterling Overnight Index Average. Crédit Agricole Corporate & Investment Bank (Crédit Agricole CIB) will be appointed as the swap counterparty as of closing. Based on Morningstar DBRS' private credit rating on Crédit Agricole CIB, the downgrade provisions outlined in the documents, and the transaction structural mitigants, Morningstar DBRS considers the risk arising from the exposure to the swap counterparty to be consistent with the credit ratings assigned to the rated notes as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. The Bank of New York Mellon, London Branch (rated AA (high) with a Stable trend by Morningstar DBRS) will act as the Issuer Account Bank in the transaction and will hold the Issuer's transaction account, the liquidity reserve fund (LRF), and the swap collateral account, while Barclays Bank PLC will be appointed as the collection account bank. Morningstar DBRS has a Long Term Critical Obligations Rating of AA (low) and a Long-Term Issuer Rating of "A" on Barclays Bank PLC, both with Stable trends. Both entities meet the eligible credit ratings in structured finance transactions and are consistent with the credit ratings assigned to the rated notes as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Liquidity in the transaction is provided by an LRF which is amortizing and sized at 1.0% of the Class A and Class B notes' outstanding balance. It covers senior costs and expenses, swap payments, and interest shortfalls for the Class A and Class B notes, the latter subject to the Class B Notes being the most senior class of notes outstanding, or otherwise subject to the Class B PDL being not greater than 25% of the Class B Notes' outstanding balance (PDL condition). The LRF will be partially funded at closing at 0.5% of the Class A and Class B notes' balance using part of the Class X Notes' issuance proceeds. It will then be subsequently funded through available principal funds until the LRF target amount has been transferred (disregarding LRF debits). From that date onwards, the LRF will be funded through revenue. Any liquidity reserve excess amount will be applied as available principal receipts, and the reserve will be released in full once the Class B Notes are fully repaid. In addition, the Issuer can use principal to cover senior costs and expenses, swap payments, and interest on the most senior class of notes outstanding. Principal can be used once the LRF has been exhausted. Interest shortfalls on the Class B to Class F notes, as long as they are not the most senior class outstanding, may be deferred and not be recorded as an event of default until the final maturity date or such earlier date on which the notes are fully redeemed or become the most senior class. Interest shortfalls on the Class X Notes can be deferred until the notes' redemption or maturity. Morningstar DBRS based its credit ratings on a review of the following analytical considerations: -- The transaction's capital structure, including the form and sufficiency of available credit enhancement; -- The credit quality of the mortgage portfolio and the servicer's ability to perform collection and resolution activities. Morningstar DBRS estimated stress-level probability of default (PD), loss given default (LGD), and expected losses (EL) on the mortgage portfolio. Morningstar DBRS used the PD, LGD, and EL as inputs into the cash flow engine and analyzed the mortgage portfolio in accordance with its "European RMBS Insight Methodology"; -- The transaction's ability to withstand stressed cash flow assumptions and repay the Class A, Class B, Class C, Class D, Class E, Class F, and Class X notes according to the terms of the transaction documents; -- The structural mitigants in place to avoid potential payment disruptions caused by operational risk, such as a downgrade, and replacement language in the transaction documents; -- Morningstar DBRS' sovereign credit rating on the United Kingdom of Great Britain and Northern Ireland of AA with a Stable trend as of the date of this press release; and -- The expected consistency of the transaction's legal structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology and the presence of legal opinions that are expected to address the assignment of the assets to the Issuer. 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 Amounts and the related Class Balances. Morningstar DBRS' credit ratings on the rated notes also address the credit risk associated with the increased rate of interest applicable to each of the rated notes if the rated notes are not redeemed on the Optional Redemption Date (as defined in and) in accordance with the applicable transaction documents. Notes: All figures are in British pound sterling unless otherwise noted. PIERPONT BTL 2025-1: DBRS Gives (P) BB(high) Rating on X Notes -------------------------------------------------------------- DBRS Ratings Limited assigned provisional credit ratings to the following classes of notes to be issued by Pierpont BTL 2025-1 Plc (the Issuer): -- Class A Notes at (P) AAA (sf) -- Class B Notes at (P) AA (low) (sf) -- Class C Notes at (P) A (low) (sf) -- Class D Notes at (P) BBB (high) (sf) -- Class E Notes at (P) BBB (sf) -- Class X Notes at (P) BB (high) (sf) The provisional credit rating on the Class A notes addresses the timely payment of interest and ultimate payment of principal on or before the final maturity date. The provisional credit ratings on the Class B to E notes address the timely payment of interest once they are the most senior class, and the ultimate repayment of principal on or before the final maturity date. The provisional credit rating on the Class X notes addresses the ultimate repayment of interest and principal on or before the final maturity date. CREDIT RATING RATIONALE The transaction represents the issuance of United Kingdom of Great Britain and Northern Ireland (UK) residential mortgage-backed securities (RMBS) backed by first-lien, buy-to-let (BTL) mortgage loans. The Issuer is a bankruptcy-remote, special-purpose vehicle incorporated in the UK. The notes to be issued will fund the purchase of UK first-lien mortgage loans originated and serviced by LendInvest BTL Limited (LendInvest) and MTF (LE) Limited (MTF; together, the Originators and Servicers), and subsequently purchased by JPMorgan Chase Bank N.A., London Branch (the Seller). This is the fourth securitization from the Pierpont BTL series, and the second rated by Morningstar DBRS, following Pierpont BTL 2021-1 Plc, Pierpont BTL 2023-1 Plc, and Pierpont BTL 2024-1 Plc. The mortgage portfolio as of March 2025 consists of GBP 298.5 million of first-lien mortgage loans collateralized by BTL properties in the UK. The pool has a seasoning of four months and yields a current weighted-average coupon of 5.3%. Liquidity in the transaction is provided by a liquidity reserve fund (LRF), which shall cover senior costs and expenses as well as interest shortfalls for the Class A notes. In addition, the LRF shall also be available to cover interest shortfalls in the Class B notes, as long as either they are the most senior class of notes outstanding, or that the debit balance in their principal deficiency ledger does not exceed 10% of the initial principal amount of the Class B notes at closing. Principal borrowing is also envisaged under the transaction documentation and can be used to cover senior costs and expenses, including swap payments, as well as interest shortfalls of Classes A to E, subject to being the most senior class of notes outstanding. The transaction also features a fixed-to-floating interest rate swap, given the presence of fixed-rate loans (which would revert to a floating rate in the future), while the liabilities will pay a coupon linked to Sterling Overnight Index Average. The swap counterparty to be appointed as of closing shall be J.P. Morgan SE. Furthermore, Citibank N.A., London Branch will be appointed as the Issuer Account Bank, and Barclays Bank PLC will act as the Collection Account Bank. Morningstar DBRS based its credit ratings on a review of the following analytical considerations: -- The transaction's capital structure, including the 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 estimated stress-level probability of default (PD), loss given default (LGD), and expected losses (EL) on the mortgage portfolio. Morningstar DBRS used the PD, LGD, and EL as inputs into the cash flow engine. Morningstar DBRS analyzed the mortgage portfolio in accordance with its "European RMBS Insight Methodology"; -- The transaction's ability 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; -- The structural mitigants in place to avoid potential payment disruptions caused by operational risk, such as a downgrade, and replacement language in the transaction documents; -- The sovereign credit rating of AA with a Stable trend on the UK as of the date of this press release; and -- The expected consistency of the transaction's legal structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology and the presence of legal opinions that are expected to address the assignment of the assets to the Issuer. 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 Amounts and the related Class Balances. Morningstar DBRS' credit ratings on the Class A, Class B, Class C, Class D, and Class E notes also address the credit risk associated with the increased rate of interest applicable to the Class A to Class E notes if these notes are not redeemed on the Optional Redemption Date (as defined in and) in accordance with the applicable transaction documents. Notes: All figures are in British pound sterling unless otherwise noted. SAGE AR 2025-1: DBRS Finalizes BB(high) Rating on Class E Notes --------------------------------------------------------------- DBRS Ratings Limited finalized its provisional credit ratings on the following bonds issued by Sage AR Funding 2025 No.1 PLC (the Issuer): -- Class A1 at AAA (sf) -- Class A2 at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BB (high) (sf) All trends are Stable. CREDIT RATING RATIONALE Sage AR Funding 2025 No.1 PLC is the securitization of a floating-rate loan (the loan) advanced by the Issuer to a single borrower, Sage Borrower AR4 Limited. The loan is on-lent by the borrower to its parent, Sage Rented Limited (SRL), a for-profit registered provider of social housing, and was used to (1) refinance Sage AR Funding No.1 PLC, a previous securitization that was also rated by Morningstar DBRS, and (2) refinance the additional properties. The loan is backed by 2,123 social housing units composed mostly of houses and flats across England. The loan has an initial five-year term with two one-year extension options. The initial loan repayment date is 15 May 2030. The Sage Homes Group (Sage or the Sponsor) was established in May 2017 and is majority owned by Blackstone Inc. (Blackstone). Sage's core business is the provision of new affordable homes, which are rented at discounts to the prevailing open market rate and are let only to people on local authority housing waiting lists who are in housing need. Leases entered into by Sage with its affordable rent tenants usually include a one-year probationary period, with a long-term (usually five years) tenancy granted thereafter. Sage's leases with social rent tenants usually include a one-year probationary period and a lifetime (assured) tenancy granted thereafter. The transaction represents the third securitization by the Sponsor following Sage AR Funding No.1 PLC and SAGE AR Funding 2021 PLC, both of which are rated by Morningstar DBRS. The portfolio comprises 2,123 new-build social housing units across 119 development sites in England. The units were completed between November 2017 and May 2023 and include 1,267 houses and 856 apartment units. Jones Lang LaSalle Limited (JLL or the appraiser) valued the 2,123 units on the basis of Existing Use Value for Social Housing (EUV-SH) at GBP 369.5 million as of 13 February 2025. JLL also provides a Market Value subject to Tenancies (MV-T) of 1,952 units at GBP 431.3 million. The market value of the portfolio as referenced in this report is GBP 452.2 million and represents the aggregate of 1,952 units valued on a MV-T basis and the remaining 171 units valued on a EUV-SH basis. Based on this market value, the GBP 270.0 million balance of the rated notes represents a loan-to-value ratio (LTV) of 59.7%. The LTV and note-to-value ratios provided in this press release are calculated based on the aggregate GBP 452.2 million portfolio value unless stated otherwise. The collateral portfolio includes 1,609 units previously secured in the Sage AR Funding No.1 PLC issuance and 514 additional units of similar quality. The portfolio is highly granular and accounts for GBP 19.8 million in total annual income as of 31 December 2024 (the cut-off date). The borrower reports a net income for the portfolio at GBP 15.4 million, which represents a debt yield (DY) of 5.71% based on the rated notes. Registered providers are required to set rent levels and rental increases for social and affordable rents in compliance with UK government policy. Rent increases from April 2024 remain limited to the CPI plus 1%, a trend that is currently expected to continue through the loan term. Morningstar DBRS concluded a net cash flow (NCF) of GBP 14.7 million and a capitalization rate (cap rate) of 4.5% for the collateral, resulting in a Morningstar DBRS value of GBP 326.4 million. The Morningstar DBRS value represents an LTV of 82.7% based on the rated notes and equates to a haircut of 27.8% to the JLL valuation. The Morningstar DBRS DY at the cut-off date was 5.4% for the rated notes. The proceeds of the notes will be advanced to a wholly owned, newly incorporated subsidiary of SRL, and on-lent to SRL. SRL in turn grants third-party security by way of mortgages and a share pledge over the shares in the borrower to secure the borrower's obligations under the facility agreement. SRL also grants security as a fixed charge over its segregated bank account, into which rent is paid, and over the right to receive rental income under the occupational leases. The borrower will maintain full signing rights and full discretion over operating the segregated account. The final legal maturity of the notes is expected to be May 17, 2037, five years after the second extended loan maturity May 15, 2032. Given the security structure and jurisdiction of the underlying loan, Morningstar DBRS believes this provides sufficient time to enforce on the loan collateral, if necessary, and repay the bondholders. The loan bears interest at a floating rate equal to three-month Sterling Overnight Index Average (Sonia), subject to zero floor, plus a loan margin equivalent to the percentage rate per annum (p.a.), which is the weighted-average (WA) margin of the rated notes. There is no interest payable on the portion corresponding to the Class R notes. The loan is interest only with no scheduled amortization. Class A1 and Class A2 notes rank pari passu and collectively form the Class A notes. The Issuer will be able to issue further Class A2 notes upon the direction of SRL and with the written consent of the Class A1 noteholder(s) after the closing date provided that the proceeds of such further issuance will be used solely to redeem, in full or part, the Class A1 notes. The borrower is expected to purchase an interest rate cap from a hedge provider, with a credit rating as at the cut-off date commensurate to that of Morningstar DBRS' credit rating criteria, to hedge against increases in the interest payable under the loan resulting from fluctuations in Sonia. Morningstar DBRS notes there are certain hedging conditions in place per the facility agreement, such that the interest rate cap(s) on any day must not be more than the higher of : (1) 2.5% and (2) the rate that ensures that, as at the date on which the relevant hedging transaction is contracted, the hedged interest coverage ratio (ICR) is not less than 1.2 times (x). The initial hedging agreement is required to be in placed prior to the first interest payment date (IPD) and is expected to expire on or after the IPD falling after the second anniversary of the utilization date. Morningstar DBRS anticipates that the hedge will be extended for the full duration of the loan term. If the hedge is not extended in compliance with the facility agreement, there will be a loan event of default and sequential payment trigger event on the notes. The borrower will also have to extend hedging to exercise the two extension options. For each note interest period occurring on or after the final loan repayment date, the Sonia component of the rate of interest payable on the rated notes will be capped at 5.0% p.a., subject to a floor of zero. A cash trap event occurs if the rated LTV exceeds 76.92% and/or rated DY is less than 4.675% prior to a permitted change of control (PCOC). On or after a PCOC, a cash trap event occurs if the rated LTV exceeds the sum of (1) the rated LTV on the PCOC date and (2) 10%, and/or rated DY is less than 90% of the rated DY on the PCOC date. There are no LTV and DY financial covenants prior to a PCOC. Following a PCOC, the rated LTV financial covenant is set at the sum of (1) the rated LTV on the PCOC date and (2) 15%, and the rated DY financial covenant is set at 85% of the rated DY on the PCOC date. On the closing date, Goldman Sachs Bank USA provided a liquidity facility of GBP 9.4 million. The liquidity facility can be used to cover interest shortfalls on the Class A, Class B, Class C, and Class D notes. Morningstar DBRS estimates that the liquidity facility support is equivalent to approximately nine months of coverage based on an interest rate cap that would ensure a hedged ICR of 1.2x or approximately six months of coverage based on the 5.0% Sonia cap. The liquidity commitment will be reduced based on the reduction in the outstanding balance of liquidity supported notes (Class A through Class D), if any, provided that there are no liquidity drawings outstanding under the liquidity facility. The liquidity commitment will also be reduced in the event of an appraisal reduction or if a lower liquidity commitment is consistent with any updated criteria published by the credit rating agencies then rating the notes. To satisfy risk retention requirements, an entity within the Sage Group retains a residual interest consisting of no less than 5% of the nominal value of the loan and fair market value of the overall capital structure by subscribing to the unrated and junior-ranking Class R notes. This retention note ranks junior in relation to interest and principal payments to all rated notes in the transaction. Morningstar DBRS' credit ratings on the Class A, Class B, Class C, Class D, and Class E notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the initial principal amounts and the interest amounts. Notes: All figures are in British pound sterling unless otherwise noted. UK LOGISTICS 2024-1: DBRS Confirms BB Rating on Class E Notes ------------------------------------------------------------- DBRS Ratings Limited (Morningstar DBRS) confirmed its credit ratings on the notes issued by UK Logistics 2024-1 DAC (the Issuer) as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) All trends are Stable. CREDIT RATING RATIONALE The rationale for the confirmation is supported by the stable performance of the loans securing the transaction over the last year. The transaction is a securitization of two senior commercial real estate (CRE) loans originated by Barclays Bank PLC. The St. Modwen Facility (STM) of GBP 328.0 million and the Mileway (MW) Facility of GBP 209.8 million. The loans were advanced by Barclays Bank PLC to borrowers ultimately owned by Blackstone Real Estate Partners (Blackstone) in connection with refinancing the acquisition of two last-mile logistics portfolios comprising 6 million square feet (sf) of standing logistics assets and 3 million sf of industrial outdoor storage in England and largely concentrated in Greater Manchester. St. Modwen The STM is the larger of the two loans with respect to the number of properties and market value (MV), representing 63% of the transaction. The loan was granted to the four STM borrowers, with Blackstone as ultimate beneficiary to refinance the existing STM loan. The STM portfolio comprised 49 logistics assets in two prime urban logistics submarkets, Trafford Park and Heywood Distribution Park, in Greater Manchester. As of the February 2025 payment date, the outstanding loan amount stood at GBP 328.0 million and the number of assets in the portfolio remained at 49. The portfolio comprised a total of 4.4 million sf, as of the February 2025 payment date, and it was 90.8% occupied. The largest five tenants represent 26.9% of the gross rental income (GRI) and the largest tenant, Great Bear Distribution Limited, accounts for 10.2%. As of February 2025, the annualized net rental income (NRI) was GBP 24.6 million, slightly higher than the NRI at closing of GBP 24.3 million. The Debt Yield (DY) remained stable over the period at around 6.9%. There was positive letting activity over the quarter ending February 2025, with nine new tenants signing leases at the properties, generating approximately GBP 0.8 million in new rent annually. The portfolio has a weighted-average, lease-term-to-break (WALTb) and a weighted-average, lease-term-to-expiry (WALTe) of 6.4 years and 7.2 years, respectively. The valuations for the properties were prepared by CBRE Limited (CBRE) in April 2024 and concluded an aggregate MV of the collateral at GBP 531.6 million. Based on the special assumption of a corporate portfolio sale, representing 0% stamp duty land tax (SDLT), CBRE concluded with a value of GBP 562.4 million. The loan-to-value ratio (LTV) based on these values equals 61.7% and 58.3%, respectively. Mileway The MW Facility is the smaller of the two loans, with respect to the number of properties and MV, representing 37% of the transaction. The loan was granted to the three borrowers with Blackstone as ultimate beneficiary to refinance the existing MW loan. The MW portfolio comprised 17 logistics assets located within densely populated urban areas, with good highway connectivity. As of the February 2025 payment date, the outstanding loan amount stood at GBP 209.8 million and the number of assets in the portfolio remained at 17. The portfolio comprised a total of 4.2 million sf, as of the February 2025 payment date and it was 92.0% occupied. The largest five tenants represent 18.3% of the GRI and the largest tenant, Ridham Sea Terminals Ltd, accounts for 5.2%. As of February 2025, the annualized NRI was GBP 17.4 million, higher than the NRI at closing of GBP 16.9 million. The DY as of February 2025 stood at 8.3%, up from 7.8% at closing. There was positive letting activity over the quarter ending February 2025, with 11 new tenants signing leases at the properties, generating approximately GBP 0.24 million in new rent annually. The portfolio has a WALTb and a WALTe of 10.6 years and 12.0 years, respectively. The valuations for the properties were prepared by Jones Lang LaSalle (JLL) in March 2024 and concluded an aggregate MV of the collateral at GBP 317.5 million including a portfolio premium of 2.5%. Based on the special assumption of a corporate portfolio sale representing 0% SDLT, JLL concluded with a value of GBP 325.0 million. The LTV based on these values equals 66.2% and 64.3%, respectively. STM and MW In aggregate, Morningstar DBRS' NCF and valuation for the STM and MW portfolios are GBP 38.3 million and GBP 661.6 million, respectively, implying a WA capitalization rate of approximately 6.6%. The transaction is expected to repay in full by 15 May 2029. If the loans are not repaid by then, the transaction will have five years' tail to allow the special servicer to work out the loan(s) by May 2034, or where the final note maturity date is automatically extended pursuant to an extension of the final loan maturity date, the date falling five years after the final loan maturity date, which in each case is the final note maturity date. The transaction benefits from a GBP 27 million liquidity reserve, which can cover the interest payments to the Class A to Class C notes. The liquidity reserve has a target balance of 5% of the outstanding balance of the total outstanding balance. No liquidity withdrawal can be made to cover shortfalls in funds available to the Issuer to pay any amounts in respect of the interest due on the Class D and Class E notes. The Class D and Class E notes are subject to an available funds cap where the shortfall is attributable to an increase in the WA margin of the notes. At issuance, the Issuer purchased an interest cap agreement from Barclays Bank PLC, with a cap strike rate of 3.5% for 95% of the outstanding loan balance to hedge against increases in the interest payable under the loan resulting from fluctuations in Sonia. The current hedge arrangement expires in May 2026, at which point it must be renewed. Based on a cap strike rate of 3.5% and a Sonia cap of 5.0% for the two loans, Morningstar DBRS estimated that the liquidity reserve will cover approximately 15 months of interest payments and 12 months of interest payments, respectively, assuming the Issuer does not receive any revenue. Notes: All figures are in British pound sterling unless otherwise noted. ********* 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 2025. 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 * * *