250616.mbx

250616.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 16, 2025, Vol. 26, No. 119 Headlines A R M E N I A YEREVAN CITY: Fitch Affirms 'BB-' LongTerm IDRs, Outlook Stable F I N L A N D MEHILAINEN YHTYMA: Fitch Rates New EUR1BB Secured B Notes 'B(EXP)' I R E L A N D AQUEDUCT EUROPEAN 3-2019: Fitch Hikes Rating on F-R Notes to B+sf BAIN CAPITAL 2023-1: Fitch Assigns 'B-sf' Final Rating on F-R Notes BARINGS EURO 2019-1: Fitch Affirms B-sf Rating on Class F-R Debt BARINGS EURO 2019-2: Fitch Affirms B-sf Rating on Class F Debt BARINGS EURO 2023-1: Fitch Assigns 'B-sf' Rating on Cl. F-R Notes BLUEMOUNTAIN FUJI III: Fitch Affirms 'B+sf' Rating on Class F Notes INDIGO CREDIT III: Fitch Assigns 'B-sf' Final Rating on Cl. F Notes OAK HILL VII: Fitch Affirms 'Bsf' Rating on Class F Notes OCPE EURO 2025-13: Fitch Assigns 'B-(EXP)sf' Rating on Cl. F Notes ROCKFORD TOWER 2023-1: Fitch Assigns 'B-sf' Rating on Cl. F-R Debt I T A L Y DOVALUE SPA: Fitch Affirms 'BB' LongTerm IDR, Outlook Stable POPOLARE BARI 2017: DBRS Confirms C Rating on Class B Notes L U X E M B O U R G ECARAT DE 2024-1: DBRS Confirms B(low) Rating on F Notes LUNA 2.5: Fitch Assigns 'BB(EXP)' LongTerm IDR, Outlook Negative PLT VII FINANCE: Fitch Alters Outlook on 'B' LongTerm IDR to Stable N E T H E R L A N D S FLORA FOOD: Fitch Affirms 'B' LongTerm IDR, Outlook Stable S P A I N AERNNOVA AEROSPACE: Fitch Alters Outlook on 'B' IDR to Negative CAIXABANK CONSUMO 6: DBRS Hikes B Notes Rating to BB(high) EDREAMS ODIGEO: Fitch Gives B+(EXP) Rating on EUR375MM Sec. Notes U N I T E D K I N G D O M AVON FINANCE 3: Fitch Lowers Rating on Class E Notes to 'Bsf' BUSINESS MORTGAGE 7: Fitch Lowers Rating on Two Tranches to 'Dsf' ETERLAST LIMITED: Opus Restructuring Named as Administrators EUROSAIL PRIME-UK 2007-A: Fitch Cuts Rating on Cl. M Notes to B-sf GREENBROOK HEALTHCARE: Ernst & Young Named as Administrators LONDON BRIDGE 2025-1 PLC: DBRS Finalizes CCC Rating on X Notes MARKET HOLDCO 3: Fitch Affirms 'B' LongTerm IDR, Outlook Positive PIERPONT BTL 2025-1: Fitch Assigns BB+sf Final Rating on Cl. X Debt PLANTS365 LIMITED: RSM UK Named as Administrators R.E.M. (UK): Leonard Curtis Named as Administrators RESIDENTIAL MORTGAGE 33: Fitch Affirms 'Bsf' Rating on Cl. E Notes SALUS - EUROPEAN LOAN 33: DBRS Cuts Class C Debt Rating to BB STRATTON MORTGAGE 2024-3: Fitch Lowers Rating on E Notes to 'B+sf' TOTALLY PLC: Ernst & Young Named as Administrators VOCARE LIMITED: Ernst & Young Named as Administrators - - - - - ============= A R M E N I A ============= YEREVAN CITY: Fitch Affirms 'BB-' LongTerm IDRs, Outlook Stable --------------------------------------------------------------- Fitch Ratings has affirmed the Armenian City of Yerevan's Long-Term Foreign- and Local-Currency Issuer Default Ratings (IDRs) at 'BB-' with Stable Outlooks. The affirmation reflects Fitch's view that Yerevan's risk profile and financial profile are mostly unchanged since the last review. The city's low debt continues to be offset by a weak institutional framework, including a lack of rule-based budgetary policies. KEY RATING DRIVERS Risk Profile: 'Weaker' Yerevan's 'Weaker' risk profile is driven by five 'Weaker' key risk factors and one 'Midrange' factor. The assessment reflects Fitch's view that there is a high risk of the issuer's ability to cover debt service with the operating balance weakening unexpectedly over the scenario horizon (2025-2029) due to lower revenue, higher expenditure, or an unexpected rise in liabilities or debt service requirements. Revenue Robustness: 'Weaker' Transfers from the central budget are a key component of operating revenue, although their share has gradually decreased from 70% in 2018 to 57% in 2023, and to 39% in 2024. About 70% of these transfers are earmarked for targeted spending or delegated mandates, while the rest are general-purpose grants aimed at enhancing fiscal capacity. Taxes averaged 21% of operating revenue in 2020-2024, comprising solely property taxes. The remaining operating revenue is mainly locally collected fees and charges, the share of which increased to 35% in 2024 from 21% in 2023 (13% in 2018). The largest revenue stream is from a 'BB-' rated counterparty, supporting the 'Weaker' assessment. Revenue Adjustability: 'Weaker' The city's fiscal flexibility is limited by institutional arrangements under which fiscal authority is concentrated at the central government, with a monopoly on setting tax rates or creating taxes. The property tax base is gradually increasing, following the central government's decision to raise the cadastral value of real estate, which drives overall tax proceeds. In addition to collecting property taxes, Yerevan also collects various fees and charges, part of which the city can adjust. Most of these are already at their maximum, so the scope for an increase in revenue would cover less than 50% of what Fitch would expect from a revenue decline in an economic downturn. Expenditure Sustainability: 'Midrange' Yerevan exercises spending restraint, as reflected by spending growth generally tracking revenue growth. The city's responsibilities have remained stable through economic cycles. The largest spending item is preschool and school education (32% of total spending in 2024) followed by public transport (22%). A significant portion of spending is financed by transfers from the central budget, which makes the city's budgetary policy dependent on central government decisions. Expenditure Adjustability: 'Weaker' Most spending responsibilities are mandatory, with inflexible items dominating expenditure. Consequently, the bulk of expenditure could be difficult to cut in response to a fall in revenue. Spending flexibility is further constrained by a modest share of capex, averaging 22% of total expenditure in 2020-2024. In 2024, the share of capex increased to 27% from around 20% in 2021-2023 and 6-13% in previous years. However, in Fitch's view, this is not sufficient to justify a higher expenditure adjustability assessment, as per capita spending is low compared with international peers. Liabilities & Liquidity Robustness: 'Weaker' Capital markets in Armenia are less mature, and the city has had limited practice in debt management given its debt-free status until 2020, when it drew down a loan from the European Investment Bank (EIB; AAA/Stable). The national legal framework has strict debt policy limitations, which do not allow any new debt to be raised until existing debt obligations are fully repaid. Liabilities & Liquidity Flexibility: 'Weaker' The city's largest source of liquidity is its accumulated cash, which totalled AMD10.1 billion at end-2024. There are no restrictions on the use of liquidity. Yerevan holds its cash in treasury accounts, because deposits with commercial banks are prohibited under the national legal framework. For extra liquidity the city could borrow from the national treasury. Fitch assesses this factor as 'Weaker' as limited forms of liquidity are available and potential counterparty risk is capped at 'BB-'. Financial Profile: 'aaa category' Fitch classifies Yerevan as a type B local and regional government, as it has to cover debt service from cash flow annually. Under Fitch's rating case, the city's debt payback ratio - the primary metric of financial profile assessment for type B - remains strong at under 5x, which corresponds to a 'aaa' assessment. The actual debt service coverage ratio (operating balance-to-debt service, including short-term debt maturities) stays above 4x during most of the rating case, only decreasing to 2.7x by 2029. The fiscal debt burden, which will gradually increase during 2025-2029 from its current near-zero level, remains moderate at below 50% over the rating horizon. A strong assessment of all metrics results in the 'aaa' financial profile. Yerevan started to draw down its EUR7 million loan from the EIB at end-2020. Its direct debt reached EUR5.35 million at end-2024. In calculating adjusted debt, Fitch includes AMD8.3 billion debt of government-related entity debt, which is likely to crystallise as the city's obligations. Its base case assumes that restrictions on new borrowing will remain over the rating horizon and no new debt will be attracted. The rating case considers a hypothetical scenario that Yerevan can attract new debt from 2026, maintains elevated capex and uses debt to finance the deficit. Derivation Summary The combination of a 'Weaker' risk profile and financial profile assessment of 'aaa' leads to a 'bbb' category Standalone Credit Profile (SCP). The 'bbb-' SCP is based on the payback ratio being at the weaker end of the 'aaa' range and Armenia's low sovereign rating of 'BB-', which is the major contributor to Yerevan's revenue through transfers. Yerevan's IDRs are not affected by any asymmetric risk or extraordinary support from the central government but remain capped by those of the sovereign. Yerevan's IDR is at the same level as the Turkish municipalities of Ankara, Manisa, and Konya, reflecting the same sovereign cap, and is also equivalent to the City of Tashkent. Yerevan's SCP is below that of Ankara, matches Manisa, and higher than Konya and Tashkent. The differences primarily reflect variations in financial profiles. Short-Term Ratings Yerevan's short-term rating of 'B' corresponds to its 'BB-' IDR. Key Assumptions Qualitative Assumptions and Assessments: Risk Profile: 'Weaker' Revenue Robustness: 'Weaker' Revenue Adjustability: 'Weaker' Expenditure Sustainability: 'Midrange' Expenditure Adjustability: 'Weaker' Liabilities and Liquidity Robustness: 'Weaker' Liabilities and Liquidity Flexibility: 'Weaker' Financial Profile: 'aaa' Asymmetric Risk: 'N/A' Support (Budget Loans): 'N/A' Support (Ad Hoc): 'N/A' Rating Cap (LT IDR): 'BB-' Rating Cap (LT LC IDR) 'BB-' Rating Floor: 'N/A' Quantitative assumptions - Issuer Specific Fitch's through-the-cycle rating case incorporates a combination of revenue, cost and financial risk stresses. It is based on 2020-2024 published figures and its expectations for 2025-2029: - 8.3% increase year-on-year (yoy) in operating revenue on average in 2025-2029 driven by economic activity in the city; - 12.1% increase yoy in opex on average in 2025-2029, driven by a large projected increase in transfers for basic services in 2025 and inflation in later years; - Net capital balance at negative AMD18.0 billion on average in 2025-2029, at high levels relative to historical averages; - Apparent cost of debt on average 5.6% in 2025-2029, driven by the key interest rate in Armenia. Issuer Profile Yerevan is the capital of Armenia and the largest metropolitan area in the country. At end-2023 it had a population of nearly 1.1 million. The economy is dominated by the services sector and in comparison with international peers its wealth metrics are modest. The city's accounts are cash-based, and its budget framework covers a single year. Rating Sensitivities Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Negative rating action on Armenia would lead to corresponding action on Yerevan's ratings - A downward revision of the SCP below 'bb-', which could be driven by a material deterioration of the city's debt sustainability leading to a payback ratio above 9x on a sustained basis under Fitch's rating case Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Yerevan's IDRs are currently constrained by the sovereign ratings. Therefore, positive rating action on the sovereign could lead to corresponding action on Yerevan's IDRs 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. Discussion Note Committee date: 03 June 2025 There was an appropriate quorum at the committee and the members confirmed that they were free from recusal. It was agreed that the data was sufficiently robust relative to its materiality. During the committee no material issues were raised that were not in the original committee package. The main rating factors under the relevant criteria were discussed by the committee members. The rating decision as discussed in this rating action commentary reflects the committee discussion. Public Ratings with Credit Linkage to other ratings Yerevan's IDRs are capped by Armenia's sovereign IDRs. Entity/Debt Rating Prior ----------- ------ ----- Yerevan City LT IDR BB- Affirmed BB- ST IDR B Affirmed B LC LT IDR BB- Affirmed BB- ============= F I N L A N D ============= MEHILAINEN YHTYMA: Fitch Rates New EUR1BB Secured B Notes 'B(EXP)' ------------------------------------------------------------------ Fitch Ratings has assigned Mehilainen Yhtyma Oy's (Issuer Default Rating B/Stable) proposed EUR1.09 billion senior secured notes an expected 'B(EXP)' rating with a Recovery Rating of 'RR4'. Fitch expects the proceeds to be used to finance the acquisitions of InMedica Group and Regina Maria Group. The notes are to be issued by subsidiary, Mehilainen Yhtiot Oy. Mehilainen's Issuer Default Rating reflects an expected improvement in its business profile from the acquisitions, which will be offset by reduced leverage headroom due to incremental debt and up to EUR250 million equity to fund the acquisitions. The Stable Outlook reflects its view of a steady credit profile with tight but adequate credit metrics and temporarily weaker free cash flow (FCF) balanced by Mehilainen's broadened operational footprint with healthy EBITDA margins and supportive underlying sector fundamentals. Key Rating Drivers Increasing Scale, Broadening Geographic Reach: Mehilainen's acquisitions of Regina Maria (including Medigroup) and InMedica will meaningfully increase its revenue and EBITDA with a compatible range of service lines and broaden its geographic footprint in new countries like Romania, Serbia and Lithuania, in addition to its well-established operations in Finland. These acquisitions are substantially larger than previous international expansion efforts and bear higher execution risks, given the exposure to new regulatory regimes, although Fitch considers integration-related risks to be contained. Finland's share in total revenue, after adjusting for the acquisitions, will decrease to about 70% from over 90%, although Fitch expects most revenue to be still generated in Mehilainen's domestic market in the medium term. Fitch estimates a broadly unchanged scope of healthcare service lines and payer mix at group level, with a marginally reduced contribution from the social care business. Accretive Profitability Contribution: Fitch expects that the addition of Regina Maria will improve Mehilainen's EBITDA margins, given the target's stronger standalone profitability profile. Fitch sees limited operational synergies, with medium-term profitability improvements supported by higher growth prospects in new geographies. Fitch also remains cautious of further profitability improvements, due to the high underlying operating leverage of healthcare service providers and Mehilainen's already strong margins for the sector. Strategy Drives Leverage Headroom: The acquisitions will be supported by a combination of the announced EUR1,090 million of debt and up to EUR250 million equity, which will absorb most of the leverage headroom under the rating. Mehilainen's strategy of active international expansion via M&A increases its scale, but acquisitions economics and funding mix will likely keep leverage consistently high, close to its negative sensitivity in the medium term. Fitch consequently does not anticipate meaningful deleveraging due to continuing acquisitions, although Fitch acknowledges the business's organic deleveraging capacity. Coverage Remains Tight: Mehilainen's lease-heavy operations, alongside increasing indebtedness and higher interest cost, have consistently resulted in tight EBITDAR fixed-charge cover, which Fitch forecasts at 1.6x-1.7x in the medium term. This leaves limited room for operating underperformance that could result in margin compression. FCF Affected by Growth Capex: Its forecasts incorporate higher capital intensity for acquired businesses that have historically had sizeable greenfield projects in their pipeline, leading to capex density in the mid-single digits for 2025-2026. This, together with a higher interest burden, could lead to mildly negative FCF in 2025 and neutral FCF margins in 2026-2027. Consistently neutral non-discretionary FCF could put pressure on Mehilainen's credit profile, considering its active M&A policy. Leverage Calculations and Sensitivities Rebased: Fitch has reduced Mehilainen's historical and forecast EBITDAR leverage metrics by about 1.0x versus previous levels, following an update to its Corporate Rating Criteria. Fitch has consequently adjusted its positive and negative sensitivities, accordingly, leaving its assessment of Mehilainen's debt capacity unchanged. Peer Analysis Unlike most Fitch-rated private healthcare service providers with a narrow focus on either healthcare or social care services, Mehilainen is an integrated service provider with diversified operations across both markets. In Finland, it has a meaningful national presence in each type of service, making its business model more resilient to weaknesses in individual service lines. Mehilainen also benefits from a stable regulatory framework in its core markets that encourage competition from private healthcare providers. However, this has historically led to some margin pressures due to higher staff-to-patient requirements. The ratings of Mehilainen and Almaviva Developpement'(B/Stable), a French private hospital operator, reflect strong national market positions, reliance on stable regulation that limits the scope for profitability improvement, low single-digit FCF margins, moderate-to-high leverage of 5.0x-7.0x and M&A-driven growth strategies. Key Assumptions - Pro forma sales of about EUR3 billion in 2025, increasing towards EUR3.8 billion by 2028, supported by steady underlying organic growth of 6%-7% and supplemented by bolt-on M&A - EBITDA margin (Fitch-defi ned, excluding IFRS 16 adjustments) of 14%-15% - Capex as a share of revenue in the mid-single digits - Contained working-capital cash outflows of about EUR10 million a year - Bolt-on acquisition spending averaging EUR200 million a year in 2026-2028 - No shareholder distributions Recovery Analysis The recovery analysis assumes that Mehilainen would be reorganised as a going concern in bankruptcy rather than liquidated. Fitch estimates post-restructuring going concern EBITDA at about EUR250 million, which includes expected contribution from Regina Marina and InMedica. Fitch views this level of EBITDA as appropriate for the company to remain a going concern, reflecting possible corrective restructuring measures in response to financial distress. Fitch continue to apply a distressed enterprise value/EBITDA multiple of 6.5x, implying a premium of 0.5x over the sector median. This reflects Mehilainen's stable regulatory regime for private-service providers in its home market in Finland and its strong market positions across diversified service lines with inherently profitable and cash generation, complemented by a reasonable international footprint. The allocation of value in the liability waterfall results in a Recovery Rating of 'RR4' for the senior secured debt of EUR3,323 million, indicating a 'B' instrument rating. Its term loan B of EUR1,860 million, will rank pari passu with the new EUR1,090 million senior secured notes and a EUR350 million revolving credit facility (RCF), which Fitch assumes to be fully drawn prior to distress for analysis purposes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Pressure on profitability, with EBITDA margins declining towards 10% on a sustained basis as a result of weakening organic performance, productivity losses with fewer customer visits, lower occupancy rates, pressure on costs or weak integration of acquisitions - Risk to the business model resulting from adverse regulatory changes to public and private funding in the Finnish healthcare system, including from the health and social services reform - EBITDAR leverage above 6.5x and cash from operations-capex/total debt falling to low single digits due to operating underperformance or aggressively funded M&A, or EBITDAR fixed-charge cover falling below 1.5x - FCF margins deteriorating towards a neutral level Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Successful execution of medium-term strategy leading to a further increase in scale with EBITDA margins above13% on a sustained basis - Continued supportive regulatory environment and Finnish macro-economic factors - FCF margins remaining in the mid-single digits - EBITDAR leverage improving towards 5.0x and EBITDAR fixed-charge cover trending towards 2.0x Liquidity and Debt Structure Mehilainen's liquidity at end-2024 remained satisfactory, with EUR105 million of Fitch-calculated readily available cash, supported by its EUR200 million RCF, which was mostly undrawn, and neutral to mildly positive FCF generation. Increasing the RCF to EUR350 million as part of the announced refinancing will improve liquidity further, providing additional funds for operating purposes. The company's debt maturity profile is long dated, with most of its debt maturing in 2031. Issuer Profile Mehilainen is an integrated provider of primary healthcare and social care services, operating through over 890 units across Finland, Estonia, Sweden and Germany. Date of Relevant Committee 07 May 2025 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 Mehilainen Yhtyma Oy has an ESG Relevance Score of '4'for Exposure to Social Impacts due to the company operating in highly regulated healthcare and social-care markets, with a dependence on the public healthcare funding policy, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors Entity/Debt Rating Recovery ----------- ------ -------- Mehilainen Yhtiot Oy senior secured LT B(EXP) Expected Rating RR4 ============= I R E L A N D ============= AQUEDUCT EUROPEAN 3-2019: Fitch Hikes Rating on F-R Notes to B+sf ----------------------------------------------------------------- Fitch Ratings has upgraded Aqueduct European CLO 3 - 2019 DAC 's class F-R notes and affirmed the rest. Entity/Debt Rating Prior ----------- ------ ----- Aqueduct European CLO 3-2019 DAC A-R Loan LT AAAsf Affirmed AAAsf A-R Notes XS2340855498 LT AAAsf Affirmed AAAsf B-1R XS2340855654 LT AA+sf Affirmed AA+sf B-2R XS2340856207 LT AA+sf Affirmed AA+sf C-R XS2340856892 LT A+sf Affirmed A+sf D-R XS2340857510 LT BBB+sf Affirmed BBB+sf E-R XS2340858161 LT BB+sf Affirmed BB+sf F-R XS2340858328 LT B+sf Upgrade Bsf Transaction Summary Aqueduct European CLO 3-2019 DAC is a cash flow collateralised loan obligation (CLO) backed by a portfolio of mainly European leveraged loans and bonds. The transaction is actively managed by HPS Investment Partners CLO (UK) LLP and will exit its reinvestment period in February 2026. KEY RATING DRIVERS Stable Performance: The portfolio's credit quality has remained stable over the last 12 months. Exposure to assets with a Fitch-Derived Rating of 'CCC+' and below remains low at 5.5%, versus a limit of 7.5%, according to the latest trustee report dated May 2025. The transaction is around 0.5% below par (calculated as the current par difference over the original target par) and defaults comprise 0.6% of the portfolio's outstanding principal balance. The transaction is also passing all its collateral-quality, portfolio-profile and coverage tests. The stable performance of the transaction, combined with a shortened weighted average life (WAL) test covenant since the last review in July 2024, resulted in today's rating action. Low Refinancing Risks: The transaction has manageable near- and medium-term refinancing risk, with no portfolio assets maturing in 2025 and 3.5% maturing in 2026. B'/'B-' Portfolio: Fitch assesses the average credit quality of the underlying obligors at 'B'/'B-'. The weighted average rating factor of the current portfolio is 25.5, as calculated by Fitch under its latest criteria. High Recovery Expectations: Senior secured obligations comprise 96.5% of the portfolio. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch-calculated weighted average recovery rate of the current portfolio is 62.1%. Diversified Portfolio: The portfolio is well-diversified across obligors, countries and industries. The top 10 obligor concentration, as calculated by Fitch, is 10.5%, and no obligor represents more than 1.4% of the portfolio balance. Exposure to the three largest Fitch-defined industries is 34.3% ,as calculated by the trustee. Fixed-rate assets as reported by the trustee are at 5.2%, versus a limit of 10%. Transaction Within Reinvestment Period: The transaction is within its reinvestment period until February 2026. 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 Aqueduct European CLO 3-2019 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. BAIN CAPITAL 2023-1: Fitch Assigns 'B-sf' Final Rating on F-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned Bain Capital Euro CLO 2023-1 DAC reset notes final ratings. Entity/Debt Rating Prior ----------- ------ ----- Bain Capital Euro CLO 2023-1 DAC A XS2643730851 LT PIFsf Paid In Full AAAsf A-R XS3025331052 LT AAAsf New Rating B XS2643731073 LT PIFsf Paid In Full AAsf B-R XS3025331219 LT AAsf New Rating C XS2643731404 LT PIFsf Paid In Full Asf C-R XS3025331482 LT Asf New Rating D XS2643731586 LT PIFsf Paid In Full BBB-sf D-R XS3025331995 LT BBB-sf New Rating E XS2643732048 LT PIFsf Paid In Full BB-sf E-R XS3025332373 LT BB-sf New Rating F XS2643732121 LT PIFsf Paid In Full B-sf F-R XS3025332613 LT B-sf New Rating X-R XS3027062044 LT AAAsf New Rating Transaction Summary Bain Capital Euro CLO 2023-1 DAC is a securitisation of mainly senior secured loans and secured senior bonds (at least 90%) with a component of senior unsecured, mezzanine, and second-lien loans. Note proceeds are being used to redeem the notes, except the subordinated notes, and fund a portfolio with a target par of EUR375 million. The portfolio is actively managed by Bain Capital Credit U.S. CLO Manager II, LP. The collateralised loan obligation (CLO) has around a 4.5-year reinvestment period and an 8.5-year weighted average life (WAL) test. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors at 'B'. The Fitch weighted average rating factor (WARF) of the identified portfolio is 24.4. High Recovery Expectations (Positive): At least 90% of the portfolio comprises senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate (WARR) of the identified portfolio is 60.8%. Diversified Portfolio (Positive): The transaction includes two matrices set at closing, two forward matrix sets that are effective 12 months after closing and another two effective 18 months after closing, provided the aggregate collateral balance (defaults at Fitch-calculated collateral value) is at least at the reinvestment target par balance when the manager switches matrices. Each matrix set comprises two matrices with fixed-rate asset limits of 5% and 12.5%, respectively. The transaction also features various portfolio concentration limits, including a top 10 obligor concentration limit at 20%, a maximum exposure to the largest Fitch-defined industry of 17.5% and a limit on the three largest Fitch-defined industries at 40%. These covenants ensure the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction has an around 4.5-year reinvestment period, and includes reinvestment criteria similar to those of other European transactions. Fitch's analysis is based on a stressed case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash Flow Modelling (Positive): The WAL for the transaction's Fitch-stressed portfolio analysis is 12 months less than the WAL covenant. This is to account for the strict reinvestment conditions envisaged by the transaction after its reinvestment period. These conditions include passing the coverage tests and the Fitch 'CCC' bucket limitation test after reinvestment, and a WAL covenant that gradually steps down before and after the end of the reinvestment period. Fitch believes these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A 25% increase of the mean default rate (RDR) and a 25% decrease of the recovery rate (RRR) across all ratings of the identified portfolio will have no impact on the class X-R and A-R notes, and would lead to downgrades of one notch each for the class C-R to E-R notes, and to below 'B-sf' for the class F-R notes. Downgrades, which are based on the identified portfolio, may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of defaults and portfolio deterioration. Due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio, classes B-R, D-R, E-R and F-R have a cushion of two notches each, and the class C-R notes have one notch. The class X-R and A-R notes are at the highest achievable rating. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded either due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio will lead to downgrades of three notches each for the class A-R and D-R notes, four notches for the class B-R and C-R notes and to below 'B-sf' for the class E-R and F-R notes, and would have no impact on the class X-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the mean RDR and a 25% increase in the RRR across all ratings of the Fitch-stressed portfolio would lead to upgrades of up to three notches each for the rated notes, except for the 'AAAsf' rated notes. Upgrades during the reinvestment period, which are based on the Fitch-stressed portfolio, may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the remaining life of the transaction. Upgrades after the end of the reinvestment period, except for the 'AAAsf' notes, may result from a 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. Most 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 Bain Capital Euro CLO 2023-1 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. BARINGS EURO 2019-1: Fitch Affirms B-sf Rating on Class F-R Debt ---------------------------------------------------------------- Fitch Ratings has revised Barings Euro CLO 2019-1 DAC's class E-R notes' Outlook to Negative from Stable. All notes have been affirmed. Entity/Debt Rating Prior ----------- ------ ----- Barings Euro CLO 2019-1 DAC A-R XS2445168821 LT AAAsf Affirmed AAAsf B-1-R XS2445169126 LT AAsf Affirmed AAsf B-2-R XS2445169472 LT AAsf Affirmed AAsf C-R XS2445169399 LT Asf Affirmed Asf D-R XS2445169555 LT BBB-sf Affirmed BBB-sf E-R XS2445169712 LT BB-sf Affirmed BB-sf F-R XS2445169639 LT B-sf Affirmed B-sf Transaction Summary Barings Euro CLO 2019-1 DAC is a cash flow collateralised loan obligation (CLO) mostly comprising senior secured obligations. The transaction is actively managed by Barings (U.K.) Limited and will exit its reinvestment period in October 2026. KEY RATING DRIVERS Par Deterioration Reducing Credit Enhancement: The transaction is currently around 4.3% below par and the par value ratios of the class E-R and F-R notes have decreased to 106.28% and 102.85%, according to the trustee report on 2 May 2025, from 107.41% and 103.95%, respectively, in August 2024. The portfolio has around EUR6.3 million of defaulted assets. Exposure to assets with a Fitch-derived rating of 'CCC+' and below is 5.2% and exposure to obligors with a Negative Outlook on their driving ratings is 16.5%, as calculated by Fitch. Sufficient Cushion for Senior Notes: Although the par erosion has reduced the default-rate cushion for all notes, the senior class notes have retained sufficient buffer to support their current ratings and should be capable of absorbing further defaults in the portfolio. This underlines the Stable Outlooks on the class A-R to D-R notes. Limited Refinancing Risk: The transaction has manageable near- and medium-term refinancing risk, with no assets maturing in 2025, 3.2% maturing in 2026, and 9.5% maturing in 2027, as calculated by Fitch. 'B'/ 'B-' Portfolio Credit Quality: Fitch assesses the average credit quality of the underlying obligors at 'B'/'B-'. The weighted average rating factor (WARF) of the current portfolio is 24.7 as calculated by Fitch. High Recovery Expectations: Senior secured obligations comprise 94.7% of the portfolio. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch-calculated weighted average recovery rate (WARR) of the current portfolio is 62.2%. Diversified Portfolio: The portfolio is well-diversified across obligors, countries and industries. Fitch calculated the top 10 obligor concentration at 15.2%, with no obligor representing more than 2.1% of the portfolio balance, and exposure to the three-largest Fitch-defined industries is 22.4%. Fixed-rate assets reported by the trustee are 14.7%, close to the transaction's 15% limit. Transaction Inside Reinvestment Period: Given the manager's ability to reinvest, Fitch's analysis is based on a stressed portfolio and tested the notes' achievable ratings across all Fitch test matrices, as the portfolio can still migrate to different collateral quality tests and the level of fixed-rate assets could change. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Based on the current portfolio, downgrades may occur if loss expectations are larger than assumed, due to unexpectedly high levels of default and portfolio deterioration. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread 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 Barings Euro CLO 2019-1 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. BARINGS EURO 2019-2: Fitch Affirms B-sf Rating on Class F Debt -------------------------------------------------------------- Fitch Ratings has revised Barings Euro CLO 2019-2 DAC's class F notes' Outlook to Negative from Stable. All notes have been affirmed. Entity/Debt Rating Prior ----------- ------ ----- Barings Euro CLO 2019-2 DAC A-1-R XS2437838019 LT AAAsf Affirmed AAAsf A-2-R XS2437838795 LT AAAsf Affirmed AAAsf B-1-R XS2437839330 LT AAsf Affirmed AAsf B-2 XS2091902812 LT AAsf Affirmed AAsf C-R XS2437840692 LT Asf Affirmed Asf D-R XS2437841237 LT BBB-sf Affirmed BBB-sf E XS2091904602 LT BB-sf Affirmed BB-sf F XS2091905161 LT B-sf Affirmed B-sf Transaction Summary Barings Euro CLO 2019-2 DAC is a cash flow collateralised loan obligation (CLO) mostly comprising senior secured obligations. The transaction is actively managed by Barings (U.K.) Limited and exited its reinvestment period in July 2024, but the manager is still able to reinvest, as allowed by reinvestment criteria after the reinvestment period. KEY RATING DRIVERS Par Deterioration Reducing Credit Enhancement: The transaction is currently around 4.2% below par and the par value ratio of the class F notes has decreased to 103.7%, according to the trustee, from 104.5% in the last review in July 2024. The portfolio has around EUR5.3 million of defaulted assets with low recovery prospects. Exposure to assets with a Fitch-derived rating of 'CCC+' and below is 6.4% and exposure to obligors with a Negative Outlook on their driving ratings is 19%, as calculated by Fitch. Further performance deterioration could trigger a downgrade on the class F notes, which are last to benefit from deleveraging in the capital structure. 'B'/'B-' Portfolio: Fitch assesses the average credit quality of the underlying obligors at 'B'/'B-'. The weighted average rating factor (WARF) of the current portfolio is 24.8, as calculated by Fitch under its latest criteria. High Recovery Expectations: Senior secured obligations comprise 93.5% of the portfolio. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch-calculated weighted average recovery rate of the current portfolio is 62.5%. Diversified Portfolio: The portfolio is well-diversified across obligors, countries and industries. The top 10 obligor concentration, as calculated by Fitch, is 17.4%, and no obligor represents more than 2.9% of the portfolio balance. Exposure to the three largest Fitch-defined industries is 25.1%, as calculated by trustee. Fixed-rate assets as reported by the trustee are at 13.5%, currently complying with the limit of 15%. Transaction Outside Reinvestment Period: The transaction exited its reinvestment period in July 2024, and the most senior notes are deleveraging. The transaction is passing all the tests, allowing the manager to reinvest unscheduled principal proceeds and sale proceeds from credit risk obligations and credit-improved obligations, subject to compliance with the reinvestment criteria. 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 Barings Euro CLO 2019-2 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. BARINGS EURO 2023-1: Fitch Assigns 'B-sf' Rating on Cl. F-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned Barings Euro CLO 2023-1 DAC reset notes final ratings. Entity/Debt Rating ----------- ------ Barings Euro CLO 2023-1 DAC Class A-R XS3060203588 LT AAAsf New Rating Class B-1 R XS3060203661 LT AAsf New Rating Class B-2 R XS3060203745 LT AAsf New Rating Class C-R XS3060204040 LT Asf New Rating Class D-R XS3060203828 LT BBB-sf New Rating Class E-R XS3060204123 LT BB-sf New Rating Class F-R XS3060204479 LT B-sf New Rating Transaction Summary Barings Euro CLO 2023-1 DAC is a securitisation of mainly senior secured loans (at least 90%) with a component of senior unsecured, mezzanine, and second-lien loans. The note proceeds are being used to redeem the existing notes (other than the subordinated notes) and fund an identified portfolio with a target par of EUR400 million. The portfolio is managed by Barings (U.K.) Limited. The CLO envisages a 4.5-year reinvestment period and an 8.5-year weighted average life (WAL). KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors as in the 'B' category. The Fitch weighted average rating factor (WARF) of the identified portfolio is 23.4. Strong Recovery Expectation (Positive): At least 90% of the portfolio comprises senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate (WARR) of the identified portfolio is 63.1%. Diversified Portfolio (Positive): The transaction also includes various concentration limits, including maximum exposure to the three largest Fitch-defined industries in the portfolio at 40%. These covenants ensure that the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction has six matrices; two effective at closing, two at 12 months after closing and two at 18 months after closing, all with fixed-rate limits of 5% and 15%. All six matrices are based on a top-10 obligor concentration limit of 20%. The closing matrices correspond to an 8.5year WAL test while the forward matrices correspond to a 7.5-year, and seven-year WAL test. The switch to the forward matrices is subject to the collateral principal amount (defaults at Fitch-calculated collateral value) being at least at the reinvestment target par balance. The transaction has reinvestment criteria governing the reinvestment similar to those of other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash Flow Modelling (Neutral): The WAL used for the transaction's Fitch-stressed portfolio and matrices analysis is 12 months less than the WAL covenant, to account for structural and reinvestment conditions after the reinvestment period. These include the satisfaction of the over-collateralisation tests, Fitch 'CCC' limit, and a progressively decreasing WAL covenant. In the agency's opinion these conditions reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A 25% increase of the mean default rate (RDR) and a 25% decrease of the recovery rate (RRR) across all ratings of the identified portfolio would lead to downgrades of one notch each for the class B-R and C-R notes and have no impact on the class A-R, D-R, E-R and F-R notes. Downgrades, which are based on the identified portfolio, may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of default and portfolio deterioration. Due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio, the class F-R notes have a rating cushion of two notches, the class B-R, D-R, and E-R notes each have two notches, the class C-R notes have three notches, while the class A-R notes have no cushion. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio would lead to downgrades of up to four notches each for the class B-R and C-R notes, three notches for the class A-R notes, and to below 'B-sf' for the class E-R and F-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the mean RDR and a 25% increase in the RRR across all ratings of the Fitch-stressed portfolio would lead to upgrades of up to four notches each for the notes, except for the 'AAAsf' rated notes. Upgrades during the reinvestment period, which are based on the Fitch-stressed portfolio, may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the transaction's remaining life. After the end of the reinvestment period, upgrades may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread 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. Most 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 Barings Euro CLO 2023-1 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. BLUEMOUNTAIN FUJI III: Fitch Affirms 'B+sf' Rating on Class F Notes ------------------------------------------------------------------- Fitch Ratings has upgraded BlueMountain Fuji Euro CLO III DAC 's class B-R notes and affirmed the rest. Entity/Debt Rating Prior ----------- ------ ----- BlueMountain Fuji Euro CLO III DAC A-1 R XS2341633027 LT AAAsf Affirmed AAAsf A-2 R XS2341633704 LT AAAsf Affirmed AAAsf B-R XS2341634348 LT AAAsf Upgrade AA+sf C-R XS2341634934 LT A+sf Affirmed A+sf D-R XS2341635667 LT BBB+sf Affirmed BBB+sf E XS1861114863 LT BB+sf Affirmed BB+sf F XS1861116991 LT B+sf Affirmed B+sf Transaction Summary BlueMountain Fuji Euro CLO III DAC is a cash flow CLO comprising mostly senior secured obligations. The transaction is actively managed by BlueMountain Fuji Management, LLC and exited its reinvestment period in July 2022. KEY RATING DRIVERS Transaction Outside Reinvestment Period: The manager can reinvest unscheduled principal proceeds and sale proceeds from credit-risk obligations and credit-improved obligations subject to compliance with the reinvestment criteria. This is despite the transaction having exited its reinvestment period and failing the fixed-rate limit, top 10 obligors concentration limit, weighted average spread, weighted average life (WAL), and Moodys Caa rating, according to the trustee report. Given the manager's ability to reinvest, Fitch analysis is based on a stressed portfolio and tested the notes' achievable ratings across the Fitch matrices, since the portfolio can still migrate to different collateral quality tests. The transaction's WAL has also been extended to four years, in line with its criteria, to account for refinancing risk. Fitch also applied a haircut of 1.5% to the weighted average recovery rate as the calculation of this metric in the transaction documentation is not in line with its current CLO Criteria. Deleveraging Senior Notes: The rating actions reflect the transaction's deleveraging and resilient performance, with portfolio losses below rating cases. They also reflect manageable near- and medium-term refinancing risk, with only 4.06% of the assets in the portfolio maturing before 2026. The class A-1 R and A-2 R notes have been 50.5% paid down since the transaction closed in September 2018 and EUR109 million has been repaid since the last review in July 2024, based on the trustee report dated May 2025, increasing credit enhancement CE for all notes. The total par loss is limited at 0.7% (calculated as current par difference over original target par), well below its rating case assumptions. The portfolio has EUR3.7 million of reported defaults. 'B'/'B-' Portfolio: Fitch assesses the average credit quality of the underlying obligors at 'B'/'B-'. The Fitch-calculated weighted average rating factor of the current portfolio is 26.7 under the latest criteria. High Recovery Expectations: Senior secured obligations comprise 97.3% of the portfolio. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The weighted average recovery rate of the current portfolio as reported by the trustee was 65.9%. Diversified Portfolio: The portfolio is well-diversified across obligors, countries and industries. The top 10 obligor concentration, as calculated by Fitch, is 18.7%, and the largest obligor represents 2.4% of the portfolio balance. Exposure to the three largest Fitch-defined industries is 27.3%, as calculated by the trustee. Fixed-rate assets are reported by the trustee at 9.1% of the portfolio balance, currently above the limit of 7.5%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades may occur if build-up of credit enhancement following amortisation does not compensate for a larger loss expectation than assumed, due to unexpectedly high levels of defaults and portfolio deterioration. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades may result from stable portfolio quality and continued amortisation of the notes, leading to higher credit enhancement across the structure. 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 BlueMountain Fuji Euro CLO III 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. INDIGO CREDIT III: Fitch Assigns 'B-sf' Final Rating on Cl. F Notes ------------------------------------------------------------------- Fitch Ratings has assigned Indigo Credit Management III DAC final ratings with Stable Outlooks, as detailed below. Entity/Debt Rating Prior ----------- ------ ----- Indigo Credit Management III DAC Class A XS3054655009 LT AAAsf New Rating AAA(EXP)sf Class B1 XS3054655264 LT AAsf New Rating AA(EXP)sf Class B2 XS3054655421 LT AAsf New Rating AA(EXP)sf Class C XS3054655777 LT Asf New Rating A(EXP)sf Class D XS3054655934 LT BBB-sf New Rating BBB-(EXP)sf Class E XS3054656155 LT BB-sf New Rating BB-(EXP)sf Class F XS3054656312 LT B-sf New Rating B-(EXP)sf Subordinated Notes XS3054656585 LT NRsf New Rating NR(EXP)sf Transaction Summary Indigo Credit Management III DAC is a securitisation of mainly senior secured obligations (at least 90%) with a component of senior unsecured, mezzanine, second-lien loans, first-lien, last-out loans and high-yield bonds. The portfolio is actively managed by Pemberton Capital Advisors LLP. The transaction has a 4.5-year reinvestment period and a 7.5-year weighted average life (WAL) test at closing. The note proceeds are being used to fund a portfolio with a target par amount of EUR425 million. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors at 'B'/'B+'. The Fitch weighted average rating factor (WARF) of the target portfolio is 23.3. High Recovery Expectations (Positive): At least 90% of the portfolio comprises senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate (WARR) of the target portfolio is 61%. Diversified Portfolio (Positive): The transaction has two matrices effective at closing, corresponding to the 10 largest obligors at 25% of the portfolio balance and fixed-rate asset limits at 0% and 5%. The transaction also includes various concentration limits, including the exposure to the three-largest Fitch-defined industries in the portfolio at 42.5% and largest industry at 20%. These covenants ensure that the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Positive): The transaction has a 4.5-year reinvestment period and includes reinvestment criteria similar to those of other European transactions. Fitch's analysis is based on a stressed portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash Flow Modelling (Positive): The WAL used for the transaction's Fitch-stressed portfolio and matrices analysis is 12 months less than the WAL covenant, to account for structural and reinvestment conditions after the reinvestment period, including passing the over-collateralisation test and Fitch 'CCC' limitation. This reduces the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A 25% increase of the mean default rate (RDR) and a 25% decrease of the recovery rate (RRR) across all ratings of the identified portfolio will have no impact on the class A and B notes, will lead to downgrades of one notch each for the class C to E notes, and will result in a downgrade to below 'B-sf' for the class F notes. Downgrades, which are based on the identified portfolio, may occur if losses are larger than assumed, due to unexpectedly high levels of default and portfolio deterioration. The better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio result in a rating cushion of two notches each for the class B, D, E and F notes and one notch for the class C notes. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded either due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR across and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio would lead to downgrades of up to four notches each for class A to E and to below 'B-sf' on the class F notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the mean RDR and a 25% increase in the RRR across all ratings of the Fitch-stressed portfolio would lead to an upgrade of up to two notches each for the rated notes, except for the 'AAAsf' rated notes. Upgrades during the reinvestment period, which are based on the Fitch-stressed portfolio, may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than- expected losses for the remaining life of the transaction. Upgrades after the end of the reinvestment period may result from stable portfolio credit quality and deleveraging, which lead to higher credit enhancement and excess spread available to cover losses on 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 Most 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 Indigo Credit Management III 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. OAK HILL VII: Fitch Affirms 'Bsf' Rating on Class F Notes --------------------------------------------------------- Fitch Ratings has upgraded Oak Hill European Credit Partners VII DAC's class C and D notes and affirmed the rest. Entity/Debt Rating Prior ----------- ------ ----- Oak Hill European Credit Partners VII DAC A-R XS2330054953 LT AAAsf Affirmed AAAsf B-R XS2331736574 LT AAAsf Affirmed AAAsf C XS1843457224 LT AA+sf Upgrade A+sf D XS1843456689 LT A-sf Upgrade BBB+sf E XS1843456093 LT BB+sf Affirmed BB+sf F XS1843455871 LT Bsf Affirmed Bsf Transaction Summary Oak Hill European Credit Partners VII DAC is a cash flow CLO comprising mostly senior secured obligations. The transaction is actively managed by Oak Hill Advisors (Europe) LLP and exited its reinvestment period in April 2023. KEY RATING DRIVERS Amortisation Benefits Senior Notes: The transaction is continuing to deleverage with the class A-R notes having paid down by about EUR80.5 million since the last review in October 2024. The amortisation has resulted in an increase in credit enhancement for the notes and therefore the upgrade of the class C and D notes. Stable Performance; Limited Refinancing Risk: Since Fitch's last rating action, the portfolio's performance has been stable. According to the last trustee report dated May 2025, the transaction was passing all its portfolio profile tests and collateral quality except the weighted average life test. Exposure to assets with a Fitch-derived rating of 'CCC+' and below was 6.1%, according to the trustee, versus a limit of 7.5%. The transaction is currently 2% below par (calculated as the current target par difference over the original target par). Transaction Outside Reinvestment Period: The manager can reinvest unscheduled principal proceeds and sale proceeds from credit-improved or credit-impaired obligations after the reinvestment period, subject to compliance with the reinvestment criteria. The manager has not been actively reinvesting since November 2024. Given that the manager has not been reinvesting, Fitch relied on the current portfolio for testing downgrades. For its upgrade analysis, Fitch also used the current portfolio, which it stressed by downgrading any obligor with Issuer Default Rating on Negative Outlook by one notch, with a floor of 'CCC-', and a four-year floor to the portfolio's weighted average life. 'B'/'B-' Portfolio: Fitch assesses the average credit quality of the transaction's underlying obligors at 'B'/'B-'. The weighted-average rating factor, as calculated by Fitch under its latest criteria, is 25.5. High Recovery Expectations: The portfolio comprises 99.7% senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The weighted average recovery rate, as calculated by Fitch, is 63.1%. Diversified Portfolio: The portfolio is well-diversified across obligors, countries and industries. The top 10 obligor concentration, as calculated by Fitch, is 18.3%, and the largest obligor represents 2.3% of the portfolio balance. Exposure to the three largest Fitch-defined industries was 34.7% as calculated by the trustee. Fixed-rate assets reported by the trustee was at 7.5% of the portfolio balance, versus a limit of 10%. Cash Flow Analysis: Fitch used a customised proprietary cash flow model to replicate the principal and interest waterfalls and the various structural features of the transaction, and to assess their effectiveness, including the structural protection provided by excess spread diverted through the par-value and interest-coverage tests. Deviation from Model-Implied Ratings: The class C and F notes are one notch below their model-implied ratings (MIR) and the class D notes are two notches below the MIR. The deviation reflects limited default-rate cushion at the MIRs. 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 Fitch assumed, due to unexpectedly high defaults 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 Oak Hill European Credit Partners VII 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. OCPE EURO 2025-13: Fitch Assigns 'B-(EXP)sf' Rating on Cl. F Notes ------------------------------------------------------------------ Fitch Ratings has assigned OCPE CLO 2025-13 DAC expected ratings. The assignment of final ratings is contingent on the receipt of final documents conforming to information already reviewed. Entity/Debt Rating ----------- ------ OCP EURO CLO 2025-13 DAC Class A LT AAA(EXP)sf Expected Rating Class A loan LT AAA(EXP)sf Expected Rating Class B LT AA(EXP)sf Expected Rating Class C LT A(EXP)sf Expected Rating Class D LT BBB-(EXP)sf Expected Rating Class E LT BB-(EXP)sf Expected Rating Class F LT B-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating Transaction Summary OCP Euro CLO 2025-13 DAC is a securitisation of mainly senior secured obligations (at least 90%) with a component of senior unsecured, mezzanine, second-lien loans and high-yield bonds. Note proceeds will be used to fund a portfolio with a target par of EUR400 million. The portfolio will be actively managed by Onex Credit Partners Europe LLP. The CLO will have an approximately five-year reinvestment period and a nine-year weighted average life (WAL) test covenant. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors at 'B'. The Fitch weighted average rating factor of the identified portfolio is 23.6. High Recovery Expectations (Positive): At least 90% of the portfolio will comprise senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate of the identified portfolio is 63%. Diversified Asset Portfolio (Positive): The transaction will include two sets of Fitch test matrices, one of which will be effective at closing and one 12 months after closing, provided that the collateral principal amount (with defaults accounted for at Fitch-calculated collateral value) is at least at the reinvestment target par balance and subject to confirmation by Fitch. The transaction will also include various concentration limits, including a top 10 obligor concentration limit of 20%, a fixed-rate obligation limit of 12.5% and maximum exposure to the three largest Fitch-defined industries of 40%. These covenants ensure that the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction will have an approximately 4.6-year reinvestment period, which is governed by reinvestment criteria that are similar to those of other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash-flow Modelling (Positive): The WAL Fitch modelled is 12 months less than the WAL covenant. This is to account for the strict reinvestment conditions envisaged after the reinvestment period. These include, among others, passing both the coverage tests and the Fitch 'CCC' limit post reinvestment as well as a WAL covenant that progressively steps down over time, both before and after the end of the reinvestment period. Fitch believes these conditions would reduce the effective risk horizon of the portfolio during stress periods. 'CCC' Test (Neutral): The Fitch 'CCC' test condition can be altered to a maintain-or-improve basis, but only if the manager switches back to the closing matrix (subject to satisfying the collateral quality tests) from the forward matrix, effectively unwinding the benefit from the one-year reduction in the Fitch-stressed portfolio WAL. If the manager does not switch to the forward matrix, which includes satisfying the target par condition, the transaction will be unable to switch back and will move to a Fitch 'CCC' test maintain-or-improve basis. Fitch believes strict satisfaction of its 'CCC' test is more effective at preventing the manager from reinvesting and extending the WAL than maintaining and improving the Fitch 'CCC' test. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A 25% increase of the mean default rate (RDR) across all ratings and a 25% decrease of the recovery rate (RRR) across all ratings of the identified portfolio would have no impact on the class A, B, C, D and E notes and lead to a downgrade to below 'B-sf' for the class F notes. Based on the identified portfolio, downgrades may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of default and portfolio deterioration. Due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio, the class B, D, E and F notes display rating cushions of two notches and the class C notes have a cushion of three notches. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded either due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR across all ratings and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio would lead to downgrades of up to four notches for the class C notes, up to three notches for the class A, B and D notes, and to below 'B-sf' for the class E and F notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the mean RDR across all ratings and a 25% increase in the RRR across all ratings of the Fitch-stressed portfolio would lead to upgrade of up to two notches for the class B, C and D notes, up to three notches for the class E notes, and up to four notches for the class F notes. The class A notes are rated 'AAAsf', which is the highest level on Fitch's scale and cannot be upgraded. 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 OCP EURO CLO 2025-13 Designated Activity Company The majority of the underlying assets or risk presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations 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 OCP EURO CLO 2025-13 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. ROCKFORD TOWER 2023-1: Fitch Assigns 'B-sf' Rating on Cl. F-R Debt ------------------------------------------------------------------ Fitch Ratings has assigned Rockford Tower Europe CLO 2023-1 DAC reset debt final ratings. Entity/Debt Rating Prior ----------- ------ ----- Rockford Tower Europe CLO 2023-1 DAC Class A XS2665020959 LT PIFsf Paid In Full AAAsf Class A-R Loan LT AAAsf New Rating Class A-R XS3048480571 LT AAAsf New Rating Class B-1 XS2665021171 LT PIFsf Paid In Full AAsf Class B-2 XS2665021338 LT PIFsf Paid In Full AAsf Class B-R XS3048480738 LT AAsf New Rating Class C XS2665021502 LT PIFsf Paid In Full Asf Class C-R XS3048481116 LT Asf New Rating Class D XS2665021767 LT PIFsf Paid In Full BBB-sf Class D-R XS3048481389 LT BBB-sf New Rating Class E XS2665021924 LT PIFsf Paid In Full BB-sf Class E-R XS3048481546 LT BB-sf New Rating Class F XS2665022146 LT PIFsf Paid In Full B-sf Class F-R XS3048481892 LT B-sf New Rating Transaction Summary Rockford Tower Europe CLO 2023-1 DAC Reset is a securitisation of mainly (at least 90%) senior secured obligations with a component of senior unsecured obligations, second-lien loans, mezzanine obligations and high-yield bonds. Net proceeds from the debt issue have been used to redeem the outstanding notes (except the subordinated ones) and fund an identified portfolio with a target par of EUR450 million. The portfolio is actively managed by Rockford Tower Capital Management L.L.C. The CLO has a 4.5-year reinvestment period and a seven-year weighted average life (WAL) test. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors at 'B'. The Fitch weighted average rating factor (WARF) of the identified portfolio is 24. High Recovery Expectations (Positive): At least 90% of the portfolio comprises senior secured obligations. The recovery prospects for these assets are more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate (WARR) of the identified portfolio is 62.4%. Diversified Portfolio (Positive): The transaction includes two matrices that are effective at closing, corresponding to a seven-year WAL and two different fixed-rate asset limits of 5% and 12.5%. The transaction also has various concentration limits, including a top 10 obligor concentration limit of 20% and a maximum exposure to the three-largest Fitch-defined industries of 40%. These covenants ensure the asset portfolio will not be exposed to excessive concentration. WAL Step-Up Feature (Neutral): The transaction can extend the WAL by 1.5 years on or after the step-up date, which is 18 months after closing. The WAL extension is subject to the portfolio profile tests, the Fitch maximum WARF test, the Fitch minimum WARR test, the Fitch minimum weighted average spread test and the coverage tests being satisfied and the aggregate collateral balance (defaults at Fitch-calculated collateral value) being at least equal to the reinvestment target par balance. Portfolio Management (Neutral): The transaction has a 4.5-year reinvestment period and includes reinvestment criteria similar to those of other European transactions. Fitch's analysis is based on a stressed case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash Flow Modelling (Positive): The WAL for the transaction's Fitch-stressed portfolio analysis is 12 months less than the WAL covenant. This is to account for the strict reinvestment conditions envisaged by the transaction after its reinvestment period, which include passing the coverage tests and the Fitch 'CCC' bucket limitation test after reinvestment, and a WAL covenant that progressively steps down over time. These conditions would reduce the effective risk horizon of the portfolio in periods of stress. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A 25% increase of the mean default rate (RDR) and a 25% decrease of the recovery rate (RRR) across all ratings of the identified portfolio would have no impact on the class A-R, B-R, C-R and E-R notes and the class A-R loan, but would lead to a downgrade of one notch for the class D-R notes and to below 'B-sf' for the class F-R notes. Based on the identified portfolio, downgrades may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of default and portfolio deterioration. Due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio, the class B-R to F-R notes each have a rating cushion of two notches, while the class A-R notes and class A-R loan have no cushion. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded either due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio would lead to downgrades of up to three notches each for the notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the mean RDR and a 25% increase in the RRR across all ratings of the Fitch-stressed portfolio would lead to upgrades of up to two notches each for the class B-R to D-R notes and up to three notches each for the class E-R and F-R notes. The class A-R notes and class A-R loan are already rated 'AAAsf' and cannot be upgraded further. During the reinvestment period, upgrades, which are based on the Fitch-stressed portfolio, may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the remaining life of the transaction. After the end of the reinvestment period, upgrades may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY 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 other Nationally Recognised Statistical Rating Organisations and European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of its relevant groups and 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, its assessment of the information relied on for the agency's rating analysis, in line with its applicable rating methodologies, indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Rockford Tower Europe CLO 2023-1 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. ========= I T A L Y ========= DOVALUE SPA: Fitch Affirms 'BB' LongTerm IDR, Outlook Stable ------------------------------------------------------------ Fitch Ratings has affirmed doValue S.p.A.'s Long-Term Issuer Default Rating (IDR) at 'BB' with Stable Outlook. Fitch has also affirmed doValue's EUR300 million senior secured bonds due in 2030 at 'BB'. Key Rating Drivers Leading Franchise, Capital-Light Model: doValue's ratings reflect its strong franchise as a servicer for distressed debt and real estate in southern European markets, reinforced by its recent acquisition of Italian debt servicer Gardant S.p.A. in November 2024. The rating also reflects doValue's cash-generative and asset-light business model, which is less affected by higher funding costs than the debt purchasing sector, but also its lower income in the past two years (EUR484 million revenues in 2024, compared to EUR560 million in 2022). The latter is due to lower inflows of distressed and non-performing debt in its core markets which, in conjunction with debt incurred to fund recent acquisitions, led to temporarily high cash flow leverage. Lower-Risk Business Model: Debt servicing is a capital-light and cash-generative business, with long-term contracts offering good visibility of workflow and resourcing requirements. The acquisition of Gardant added two large forward flow contracts (inflows of EUR8 billion-10 billion from each) with Banco BPM S.p.A. (BBB-/Rating Watch Positive) until 2029 and BPER Banca S.p.A. (BBB-/Positive) until 2034. Gardant Acquisition: The acquisition of Gardant strengthened doValue's franchise in the more profitable unlikely-to-pay (UTP) exposures, and its gross book value (GBV) reached EUR141 billion at end-1Q25. doValue has a good integration record of EBITDA-accretive acquisitions, and it remains open to acquisitions, in its view. Weaker outcomes from its expansion to Spain, due largely to the expiration of a large contract and negative market dynamics, are mitigated by the strong recent performance in Greece and Cyprus. Client Concentrations: Geographical expansion has reduced revenue concentration by both customer and geography, but non-performing loans (NPLs) remain its largest business line (61% of pro forma consolidated revenues in 1Q25). Client concentration risk is inherent in debt servicing, but doValue manages it well and benefits from servicing large portfolios for its three anchor shareholders. Operational risk and the risks tied to underwriting new servicing mandates (eg minimum performance levels and upfront payments) are doValue's key risks, in its view, and the company manages them well. High Operating Costs: doValue's profitability is a rating weakness due to its labour-intensive business model and focus on sectors with lower margins. Its stable collection rate of 4% of average GBV was sound given the focus on NPLs, but Fitch-calculated EBITDA margin (2021-2024 average: 31%) does not reflect recent non-cash impairment charges. Fitch expects slightly higher collections and margins and a positive net result in the medium term, due to the Gardant acquisition and lower non-recurring expenses in Spain, but persistent profit leakage to minority interests weighs on its view of doValue's overall profitability. Post-Acquisition Leverage: Fitch expects doValue's gross debt/EBITDA ratio (end-1Q25: 4.0x on a trailing-12-months basis) to decline below 3.5x by end-2025, owing to higher EBITDA generation following the Gardant acquisition, a business model that does not require debt funding in its ordinary operations, and amortising bank lines (EUR53 million a year from 2025 until 2028). The gross debt/EBITDA ratio had deteriorated to 5.3x at end-2024 from 3.1x end-2022 due to weaker EBITDA and debt incurred to finance the acquisition of Gardant. Long-Dated Funding Profile: doValue's good access to capital markets is underlined by recent transactions, which include the refinancing of two bonds (EUR265 million and EUR296 million) and a rights issue (EUR150 million). Adequate Liquidity: Liquidity is sound because the business model does not require debt funding for cash generation. doValue's liquidity benefits from EUR143 million cash and a EUR80 million undrawn revolving credit facility at end-1Q25. Annual repayments on the amortising bank lines are manageable, before the bond repayment in 2030, and the EBITDA/interest costs ratio remains sound under Fitch's base case. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade doValue's gross debt/EBITDA ratio exceeding 3.5x without a clear path to meaningful deleveraging in the near term could result in a downgrade, as could under-performance of collection key performance indicators, or weak profitability. A material increase in doValue's risk appetite, reflected, for example, in weakening risk governance and controls or a a shift from the capital-light business model could also lead to negative rating action. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade An upgrade is unlikely in the short term unless doValue's gross debt/EBITDA ratio falls below 2.5x on a sustained basis, in conjunction with stable collection performance, sound profitability and lower net profit leakage to minority interests. DEBT AND OTHER INSTRUMENT RATINGS: KEY RATING DRIVERS doValue's senior secured notes (EUR300 million due in February 2030) are rated in line with the company's 'BB' Long-Term IDR, reflecting Fitch's expectation of average recovery prospects, as the bonds rank pari passu with the company's bank facilities. The notes are secured by doValue's shares in its subsidiaries, which are also guarantors of the bonds. DEBT AND OTHER INSTRUMENT RATINGS: RATING SENSITIVITIES The senior bonds' rating is primarily sensitive to changes in doValue's Long-Term IDR. Changes to Fitch's assessment of recovery prospects for the senior bonds in a default, eg as a result of introduction of material lower- (or higher-) ranking debt, could also result in the senior bonds' rating being notched up or down from the Long-Term IDR. ADJUSTMENTS The 'bb+' business profile score is below the 'bbb' category implied score due to the following adjustment reason: accounting policies (negative). The 'bb-' earnings & profitability score is above the 'b' category implied score due to the following adjustment reason: portfolio risk (positive). The 'bb-' capitalisation & leverage score is above the 'b' category implied score due to the following adjustment reason: historical and future metrics (positive) ESG Considerations doValue has an ESG Relevance Score for Customer Welfare of '4' as its business model as credit servicer exposes it to regulatory changes and conduct-related risks. These issues have a moderately negative impact on the credit profile and are 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 Prior ----------- ------ ----- doValue S.p.A. LT IDR BB Affirmed BB ST IDR B Affirmed B senior secured LT BB Affirmed BB POPOLARE BARI 2017: DBRS Confirms C Rating on Class B Notes ----------------------------------------------------------- DBRS Ratings GmbH confirmed its credit ratings on the notes issued by Popolare Bari NPLS 2017 S.r.l. (the Issuer) as follows: -- Class A notes at CC (sf) -- Class B notes at C (sf) The transaction represents the issuance of Class A, Class B, and Class J notes (collectively, the notes). The credit rating on the Class A notes addresses the timely payment of interest and the ultimate payment of principal on or before its final maturity date. The credit rating on the Class B notes addresses the ultimate payment of principal and interest. Morningstar DBRS does not rate the Class J notes. At issuance, the notes were backed by an Italian nonperforming loan portfolio originated by Banca Popolare di Bari S.c.p.A. and Cassa di Risparmio di Orvieto S.p.A. The total gross book value (GBV) of the portfolio as of March 2017 (the cut-off date) was equal to EUR 319.8 million. The pool of receivables comprised secured and unsecured loans, representing 56.1% and 43.9% of the GBV, respectively, with exposure mostly to corporate borrowers and small and medium-size enterprises. The properties in the collateral mainly include residential and industrial properties, accounting for 41.2% and 15.9% of the total property value, respectively. Prelios Credit Servicing S.p.A. (Prelios or the Servicer) services the receivables while Banca Finint S.p.A. (formerly Securitization Services S.p.A.) operates as the backup servicer. CREDIT RATING RATIONALE The credit rating confirmations 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 Servicer's initial business plan forecast, (2) the collection performance observed over recent months, and (3) a comparison between the current performance and Morningstar DBRS' expectations. -- Updated business plan: The Servicer's updated business plan as of December 2024, received in May 2025, and the comparison with the initial collection expectations. -- 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 net present value cumulative profitability ratio (NPV ratio) is lower than 90%. The interest subordination event occurred in October 2021 and had been cured since the October 2022 interest payment date (IPD). The trigger has been breached again since the October 2023 IPD. The actual figures for the cumulative net collection ratio and NPV ratio were at 44.1% and 83.0% as of the April 2025 IPD, respectively, according to the 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 4.0% of the Class A notes' principal outstanding balance, and the recovery expenses cash reserve target amounts to EUR 150,000. The cash reserve as of the April 2025 IPD was EUR 1,877,779, which is EUR 224,762 below the target. The recovery expenses cash reserve was fully funded. TRANSACTION AND PERFORMANCE According to the latest investor report from April 2025, the outstanding principal amounts on the Class A, Class B, and Class J notes were EUR 52.6 million, EUR 10.1 million, and EUR 13.5 million, respectively. As of April 2025, the balance on the Class A notes had amortized by 35.0% since issuance, and the current aggregated transaction balance was EUR 76.1 million. As of March 2025, the transaction was performing below the Servicer's business plan expectations. The actual cumulative gross collections equaled EUR 53.0 million, whereas the Servicer's initial business plan estimated cumulative gross collections of EUR 117.3 million for the same period. Therefore, as of March 2025, the transaction was underperforming by EUR 64.4 million (54.9%) compared with the initial business plan expectations. At issuance, Morningstar DBRS estimated cumulative gross collections for the same period of EUR 94.6 million at the BBB (low) (sf) stressed scenario and EUR 105.3 million at the B (low) (sf) stressed scenario. Therefore, as of March 2025, the transaction was performing below Morningstar DBRS' initial BBB (low) (sf) and B (low) (sf) scenarios. Pursuant to the requirements set out in the receivable servicing agreement, in May 2025, the Servicer delivered an updated portfolio business plan. The updated portfolio business plan, combined with the actual cumulative gross collections of EUR 51.9 million as of December 2024, resulted in a total of EUR 72.6 million. This is 39.7% lower than the total gross disposition proceeds of EUR 120.4 million estimated in the initial business plan. Excluding actual collections as of March 2025, the Servicer's expected future collections from April 2025 amount to EUR 19.2 million, which is less than the current outstanding balance on the Class A notes. In Morningstar DBRS' CCC (sf) (or below) scenarios, the Servicer's updated forecast was adjusted only in terms of actual collections to the date and timing of future expected collections. Considering the material gap between the future expected collections and the current balance on the Class A notes, the full repayment of the Class A principal is unlikely, but considering the transaction structure, a payment default on the notes would likely occur only in a few years. Given the characteristics of the Class B notes, as defined in the transaction documents, Morningstar DBRS notes that a default would most likely be recognized only at the maturity or early termination of the transaction. The transaction's final maturity date is October 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. =================== L U X E M B O U R G =================== ECARAT DE 2024-1: DBRS Confirms B(low) Rating on F Notes -------------------------------------------------------- DBRS Ratings GmbH confirmed its credit ratings on the notes issued by ECARAT DE S.A. acting on behalf and for the account of its Compartment 2024-1 (ECARAT DE 2024-1 or the Issuer) as follows: -- Class A Notes at AAA (sf), -- Class B Notes at AA (high) (sf), -- Class C Notes at A (high) (sf), -- Class D Notes at A (low) (sf), -- Class E Notes at BBB (low) (sf), and -- Class F Notes at B (low) (sf). The credit ratings on the Class A and Class B Notes address the timely payment of interest and ultimate payment of principal on or before the legal final maturity date in November 2035. The credit ratings on the Class C, Class D, Class E, and Class F Notes address the timely payment of interest when the senior-most class outstanding, otherwise ultimate payment of interest and ultimate principal payment on or before 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: -- The portfolio performance, in terms of delinquencies, defaults, and losses, as of 30 April 2025 (portfolio cut-off date corresponding to the May 2025 payment date); -- Probability of default (PD), loss given default (LGD), and expected loss assumptions based on a potential portfolio migration during the revolving period according to the concentration limits; -- Current available credit enhancement to the notes to cover the expected losses at their respective credit rating levels as of the May 2025 payment date; and -- No revolving period end trigger events occurred. The transaction is a securitization of retail auto loans originated by Stellantis Bank S.A., German Branch (Stellantis Bank Germany) to individual and commercial borrowers in Germany. Stellantis Bank Germany also acts as the Servicer. The transaction is not subject to residual value risk. The transaction includes a revolving period ending at the July 2025 payment date. During the normal amortization period, the repayment of the notes is subject to a pro-rata/potential sequential amortization mechanism. PORTFOLIO PERFORMANCE As of April 30, 2025, delinquencies were low, with loans two to three months in arrears and above three-month in arrears both representing 0.1% of the outstanding portfolio balance. As of April 30, 2025, the cumulative gross loss ratio stood at 0.4%, below the 1.0% level triggering the end of the revolving period. PORTFOLIO ASSUMPTIONS AND KEY CREDIT RATING DRIVERS Morningstar DBRS maintained its base case PD and LGD assumptions at the B (low) (sf) credit rating level of 1.8% and 40.5%, respectively. As the transaction is still in its revolving period, the portfolio assumptions continue to consider potential portfolio migration based on the concentration limits as per the transaction documents. CREDIT ENHANCEMENT Credit enhancement (CE) to the notes consists of subordination of the junior notes. As of the May 2025 payment date, CE remained the same as at closing due to the transaction being in the revolving period and was as follows: -- CE to the Class A Notes at 9.8%, -- CE to the Class B Notes at 7.2%, -- CE to the Class C Notes at 4.7%, -- CE to the Class D Notes at 3.5%, -- CE to the Class E Notes at 2.2%, and -- CE to the Class F Notes at 1.2%. The transaction benefits from a liquidity reserve available to cover senior fees, swap payments and interest payments on the Class A, Class B, Class C, and Class D Notes, if principal collections are not sufficient to cover related shortfalls. As of the May 2025 payment date, the liquidity reserve was at its target level of approximately EUR 4.7 million. As of the May 2025 payment date, all principal deficiency ledgers (PDLs), including the Class G PDL were clear. A Class G PDL exceeding 0.5% of the outstanding portfolio balance triggers the end of the revolving period. HSBC Continental Europe acts as the account bank for the transaction. Based on Morningstar DBRS' private credit rating on the account bank, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent to the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit rating assigned to the Class A Notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. BNP Paribas SA (BNP Paribas) acts as the swap counterparty for the transaction. Morningstar DBRS' public Long Term Critical Obligations Rating on BNP Paribas at AA (high) 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. LUNA 2.5: Fitch Assigns 'BB(EXP)' LongTerm IDR, Outlook Negative ---------------------------------------------------------------- Fitch Ratings has assigned Luna 2.5 S.a.r.l. a first-time expected Long-Term Issuer Default Rating (IDR) of 'BB(EXP)' with a Negative Outlook. Fitch has also assigned an expected 'BB+(EXP)' rating to its proposed EUR1,150 million senior secured notes and EUR1,150 million term loan, both with Recovery Ratings of 'RR2'. Luna2.5 is the newly established parent of the Urbaser Group, and the borrower in the planned refinancing in June 2025. The IDR reflects significant re-leverage from a EUR1 billion dividend to Platinum Equity, its sponsor, counterbalanced by low business risk as Spain's leading waste operator with stable revenues from long-term municipal concessions. The Negative Outlook reflects high post-transaction EBITDA net leverage and expected breaches of Fitch's negative sensitivity of 4.7x for 2025-2027. Deleveraging through earnings growth, consistent with the company's record and Platinum Equity's medium-term financial strategy, could lead to a revision of the Outlook to Stable. The assignment of the final ratings is contingent on the completion of the refinancing and dividend recapitalisation and receipt of conforming documentation. Key Rating Drivers High Re-Leverage, Limited Rating Headroom: Fitch expects the debt refinancing and the EUR1 billion dividend recapitalisation to sharply lift EBITDA net leverage to 4.8x in 2025, where it will remain until 2027, from a low 2.7x in 2024. This will be slightly above its negative sensitivity of 4.7x. The newly proposed capital structure leaves Luna2.5 with limited headroom to maintain 'BB' credit metrics in a business downswing. Deleveraging by 2027 Is Key: Urbaser has built a good record of deleveraging capacity with EBITDA net leverage declining to 2.7x in 2024 from 4.5x in 2021 on the back of robust organic growth, selective disposals (i.e Nordics and UK businesses), and despite a EUR300 million special dividend paid in 2023. A failure to return to within its rating guidelines by 2027 would trigger a rating downgrade. Platinum Comfortable as Sponsor: Platinum Equity has reportedly held negotiations during several months for the sale of Urbaser, with no agreement reached so far. Fitch does not rule out the possibility of a future sale, but Fitch understands from Urbaser management that Platinum is comfortable remaining as sponsor as it continues supporting the business and acknowledging its strengths. Bond portability language in the event of a change of control would facilitate a potential sale, in Fitch's view. Execution Risks: In its view execution risks could arise if the sponsor chooses to focus on realising value on its investment in Urbaser over maintaining long-term financial discipline on the company. Support from Platinum Equity and Urbaser' management towards restoring leverage comfortably below its negative sensitivity will be key to returning the Outlook to Stable. Such support could be manifested through a clear financial policy consistent with the 'BB' IDR. By contrast, further dividend distributions and detrimental divestments and M&A could weaken Urbaser's credit profile. Updated Rating Case, Ambitious Growth: Its rating case for Urbaser entails sound revenue growth of 5.5% a year over 2025-2029, driven by an inflation-indexed contract backlog and an ambitious capex plan comprising new investments and bolt-on acquisitions. Gross annual investments of about EUR0.6 billion will be allocated to Urbaser's municipal waste treatment division (48% of the total), its urban services (37%) and its industrial waste treatment activities (15%). Annual investments will largely depend on the company's pursued growth and available market opportunities, given the largely discretionary nature of the capex. Shift Towards Industrial Waste Treatment: Urbaser's business mix is slightly shifting towards industrial treatment, where revenues are expected to grow 13% a year for 2025-2029. Industrial waste treatment offers higher margins and benefits from favourable trends, but it is also higher risk than municipal waste management due to its generally uncontracted nature and exposure to commodity prices. However, customer retention is high, supported by its defensive characteristics, such as treatment permits and secured locations. Growth Aligned with Industry Trends: Urbaser's targeted growth in industrial waste aligns with industry peer strategies, driven by strong fundamentals, such as higher environmental standards of commercial and industrial (C&I) clients and an increasing focus on the circular economy by policymakers. Industrial treatment activities will account for over 20% of Urbaser's total EBITDA by 2029, up from about 15% in 2024, representing a major growth driver for the company. Solid Revenue Base: Urbaser benefits from a high revenue visibility based on in its portfolio of over 600 long-term municipal concessions (10-25 years for waste treatment, five-10 years for municipal services). Concessional fees account for 70%-90% of revenues and include indexation clauses to mitigate rising costs. In 2024, Urbaser's contract backlog reached EUR15 billion, equivalent to six years of revenues, driven by inflation-induced growth, new contracts and acquisitions. Contract renewal rates are historically high at 80%-90%, underscoring Urbaser's market position and execution capabilities. Strong Barriers to Entry: The business benefits from high barriers to entry due to the technical and tendering knowledge, its large, specialised asset base and deep vertical integration. Urbaser has more than 100 treatment facilities across all waste management processes (sorting, recycling, and valorisation) that often require operational permits and are managed primarily under concessional frameworks. The strong competitive position results in low churn rates, including on the uncontracted part of the business covering industrial waste treatment. Senior Secured Rating: Luna2.5's 'BB+' senior secured debt benefits from a one-notch uplift from its IDR, reflecting pledges over the shares of the guarantors (totalling around 80% of consolidated EBITDA), and intercompany receivables. The treatment is in line with the generic approach due to immaterial prior-ranking debt. The draft financing documentation is light on covenants, providing limited protection for creditors, in its view. Peer Analysis Luna2.5's rating is supported by a strong business profile that compares favourably with those of most peers, but is constrained by its higher leverage to the 'BB' category. Fitch views the local competitor, FCC Servicios Medio Ambiente Holding, S.A.U. (FCC MA; BBB/Stable), as the closest peer for Urbaser. FCC MA has slightly lower business risk due to its stronger market position in Spain and greater geographical diversification, with a better credit quality of its international operations, mainly Europe, the US and UK versus Urbaser's Europe and Latam. Seche Environnement S.A. (BB/Stable; Séché), a small French waste operator specialising in the niche markets of materials and energy recovery and hazardous waste management, has a lower contracted share of business and higher exposure to industrial customers, which results in a lower debt capacity than Urbaser. However, this is partly mitigated by Seche's exposure to activities with higher barriers to entry due to stricter regulations. Paprec Holding SA (BB/Stable), a French waste management operator, has a leading position in the domestic recycling market with increasing exposure to other waste services and waste-to-energy activities. Paprec has a higher exposure to private clients, exposure to merchant risk from the sale of recycled raw materials and limited geographical diversification, while Urbaser operates largely under long-term contracts with municipalities. The stronger business profile of Urbaser supports a materially higher debt capacity than Paprec. Key Assumptions Fitch's Key Assumptions Within Its Rating Case for the Issuer: - Refinancing to be completed in 1H25, in line with the proposed capital structure - Revenue growth of about 5.5% a year over 2025-2029, based on contracted revenues with stable waste volumes and CPI-indexed tariff revisions, contract renewal rates of 85%-90% and contribution from growth investments - Fitch-defined EBITDA margin at about 19.5% over 2025-2029 - Capex (excluding for M&A) to average slightly more than EUR440 million a year for 2025-2029 - M&A outflow of EUR0.2 billion in 2025 related to announced transactions (Stericycle's Iberian business, waste recovery business in Guadassuar) as well as small bolt-on acquisitions of EUR50 million a year for 2026-2029 - Special dividend of EUR1 billion in 2025 and no dividend distributions thereafter - Neutral change in working capital for 2025-2029 - Cash tax rate at 26% for 2026-2029 - Restricted cash of EUR64 million related to project-finance reserve accounts, overseas blocked cash and working-capital needs RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Failure to show credible deleveraging towards 4.7x EBITDA net leverage by 2027 at the latest - EBITDA interest coverage below 2.8x on a sustained basis - Consistently negative free cash flow (FCF) post-dividends - Further extraordinary dividend distributions - A material shift in the business mix towards a lower contracted profile or higher-risk activities (e.g. industrial waste) could lead Fitch to review Luna2.5's debt capacity for its current rating Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch currently sees limited rating upside due to the contemplated refinancing and dividend recapitalisation. However, FFO net leverage declining below 4.7x on a sustained basis, neutral-to-positive FCF (post-dividends) and a consistent financial policy would lead to a revision of the Outlook to Stable. Liquidity and Debt Structure Luna2.5's liquidity position and debt structure, after the refinancing, will be enhanced by the long-term structure of the proposed financing package. Both the proposed senior secured notes and the new senior secured bullet term loan B will mature in 2032. Luna2.5's expected cash after refinancing of about EUR90 million (before usual adjustments made by Fitch) and a new committed revolving credit facility of EUR400 million due in 6.5 years (fully available at closing) will cover negative FCF (after M&A) forecast in its rating case to 2029 of about EUR100 million a year. Issuer Profile Luna2.5 is the new funding vehicle put in place by the private equity sponsor Platinum Equity for the refinancing for Urbaser. Luna2.5 is the new ultimate parent of Urbaser as holding, non-operating company, which owns 100% of Luna III S.a r.l. (BB/Stable) and indirectly 100% of Urbaser S.A. (Sociedad Unipersonal). 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 ----------- ------ -------- Luna 2.5 S.a.r.l. LT IDR BB(EXP) Expected Rating senior secured LT BB+(EXP) Expected Rating RR2 PLT VII FINANCE: Fitch Alters Outlook on 'B' LongTerm IDR to Stable ------------------------------------------------------------------- Fitch Ratings has revised PLT VII Finance S.a r.l.'s (Bite) Outlook to Stable from Positive while affirming its Long-Term Issuer Default Rating (IDR) at 'B'. Fitch has also affirmed Bite's EUR920 million senior secured notes (a mixture of EUR420 million fixed- and EUR500 million floating-rate tranches) with maturity in June 2031 at 'B+' with a Recovery Rating of 'RR3'. The Outlook reflects its view of opportunistic shareholder distributions in light of some additional debt capacity created from a 2024 accounting change to company-defined EBITDA. A looser financial policy would anchor the rating at the current level, even though Bite's underlying business performance and cash flow generation should support modest organic deleveraging, resulting in strong credit metrics for the IDR. Key Rating Drivers Looser Financial Policy: Bite's management decided to start capitalising its content investment beginning with its 2024 full year reporting, leading to an arithmetic improvement in EBITDA. The change is neutral to Fitch-defined metrics as Fitch has always treated such content investments as operating costs, in line with its standard approach for the industry. However, the increase in EBITDA potentially creates additional debt capacity, given the group's unchanged net leverage target on the back of this content capitalisation policy adjustment. Fitch expects Bite's shareholders to remain opportunistic, which could lead to a Fitch-defined gross leverage of 5.6x, a level more in line with its current leverage sensitivities, if the additional EBITDA buffer created is used for debt-funded additional shareholder distributions over the next 24 months. 5G Capex Cycle Nearing Completion: Bite has made major progress with its 5G network rollout, with Fitch-defined capex peaking at 11.4% of revenue in 2024. Fitch expects capex to gradually decline to 9% by 2026. This is closer to the 7.8% average in 2019-2022, before its 5G capex plan. Positive Pre-Dividend Free Cash Flow: Fitch expects Bite to generate positive pre-dividend free cash flow (FCF) even though the higher interest on a higher amount of debt following its refinancing in June 2024 has slightly diluted its FCF margins. However, this effect should be mitigated by lower capex from 2025. Fitch expects pre-dividend FCF margins in the mid-to-high single digits, down from the low teens in 2020-2022. Bite's EBITDA margins of about 31% and moderate capex should lead to sustained strong cash flow generation, aided by low corporate taxes in the Baltics. Established Market Positions: Bite is the second-largest mobile telecom company in Lithuania and third-largest in Latvia. Both are three-operator markets with the same mobile competitors. Fitch expects Bite to maintain its market positions, supported by its large spectrum portfolio, wide network coverage and recognised quality. Rational Markets: The markets in Latvia and Lithuania have been rational so far, although Fitch acknowledges that receding inflation is likely to reduce pricing flexibility. The small size of the local markets makes them less attractive for virtual operators, with only one mobile virtual network operator with a small market share in Lithuania at present. This reduces the risk of disruptive competition and supports its expectation of EBITDA margins stabilising at 31% over 2025-2028. Positive Growth Outlook: Fitch expects Bite to continue to benefit from low- to mid-single-digit service revenue growth, supported by increasing data consumption, including from the expanding fixed-wireless customer base resulting from wider 5G usage. Service revenue rises will be further supported by the strong performance of its fixed broadband and pay-TV operations, following its diversification strategy, with these businesses now contributing to 31% of service revenue, up from less than 20% in 2020. Media More Volatile: Fitch views the media business as intrinsically more volatile, as it is driven by advertising revenue strongly correlated with GDP. Fitch expects this sector to grow in low single digits, supported by Bite's leading share of viewership in its markets and only limited local language competition. Exposure to higher media volatility is mitigated by the sector's moderate contribution to service revenue at 17% in 2024. Low M&A Risk: Fitch believes the limited M&A opportunities in the Baltics region diminish the risk of major M&A, even though the group has doubled its revolving credit facility to EUR100 million in 2024. Fitch expects shareholder remuneration to be more central than M&A to the group's capital allocation. Peer Analysis Bite holds strong positions in its core markets but is smaller in absolute scale than most mobile and telecom peers with 'B' category ratings. Bite benefits from operating in less congested and rational three-operator mobile markets that lack a major mobile virtual network operator presence and bundling competition. Bite generates positive pre-dividend FCF, which is a credit strength, but cable-centric and fixed-line incumbent operators, such as eircom Holdings (Ireland) Limited (B+/Stable) and Virgin Media Ireland Limited (B+/Stable), benefit from more stable customer relationships, higher EBITDA margin and larger interest coverage. Key Assumptions Fitch's Key Assumptions Within Its Rating Case for the Issuer - Low-to-mid single-digit mobile service revenue growth in 2025-2028 due to its expected decline in inflation in the Baltic area - Media revenue to rise 1.7% in 2025-2028 - Fitch-defined EBITDA margin to stabilise at 31% to 2028 - Capex to gradually decline to below 9% of revenue by 2026 - FCF fully paid out as dividends - Additional debt-funded shareholder distribution - No M&A Recovery Analysis Key Recovery Rating Assumptions - Bite considered a going concern in bankruptcy and the company reorganised rather than liquidated - A 10% administrative claim - Estimate of a post-restructuring going-concern EBITDA of EUR140 million, reflecting progress in the 5G network rollout, a large subscriber base and average revenue per user growth in 2022-2023 (this level of EBITDA is consistent with Bite generating positive pre-dividend FCF) - Enterprise value multiple of 5.0x used to calculate a post-reorganisation valuation - Bite's prior-ranking super senior secured RCF of EUR100 million fully drawn on default Its analysis results in a 'B+' senior secured rating for the company's EUR920 million senior secured debt with a Recovery Rating of 'RR3'. RATING SENSITIVITIES Factors That Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Fitch-defined EBITDA leverage persistently above 6x - A sharp reduction in pre-dividend FCF generation, driven by competitive or regulatory challenges - Cash flow from operations less capex/debt below 2% on a through-the-cycle basis Factors That Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Fitch-defined EBITDA leverage (gross debt/EBITDA) sustained below 5x - Cash flow from operation less capex/debt above 4% on a through-the-cycle basis - Strong pre-dividend FCF generation, while maintaining competitive positions in Latvia and Lithuania Liquidity and Debt Structure Bite's cash on balance sheet at end-2024 was EUR28 million after its refinancing and recapitalisation in June 2024. Fitch expects the company to be able to maintain its cash balance over 2025-2028. It also has access to an untapped EUR100 million super-senior RCF with a maturity of 6.5 years in 2030. Bite's next maturity will be 2031 when its EUR920 million senior secured debt matures. Issuer Profile Bite is a mobile-centric operator in Latvia and Lithuania, with sizeable broadband and pay-TV segments and substantial advertising-based free-to-air TV revenue across the Baltics. 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 ----------- ------ -------- ----- PLT VII Finance S.a r.l. LT IDR B Affirmed B senior secured LT B+ Affirmed RR3 B+ ===================== N E T H E R L A N D S ===================== FLORA FOOD: Fitch Affirms 'B' LongTerm IDR, Outlook Stable ---------------------------------------------------------- Fitch Ratings has affirmed Sigma Holdco BV's (Flora Food Group) Long-Term Issuer Default Rating (IDR) at 'B' with a Stable Outlook and senior unsecured debt at 'CCC+' with a Recovery Rating of 'RR6'. Fitch has also affirmed the long-term senior secured rating on the term loans issued by Flora Food Management US Corp and Flora Food Management B.V. at 'B' with a Recovery Rating of 'RR4'. Flora Food Group's rating reflects its high leverage and execution risks related to operating in a sector that has experienced consumption volatility of plant-based spreads, including margarine, in many markets, which is partly offset by growing volumes since 2H24. These are balanced by a moderately strong business profile with wide geographic diversification, a strong brand portfolio and high EBITDA margins. The Stable Outlook captures its expectation of sufficient headroom under the leverage metrics over 2025-26 amid muted consumer sentiment environment and continued strong free cash flow (FCF) generation. Key Rating Drivers Turning Point in Sales Volumes: Fitch anticipates Flora Food Group will maintain more resilient sales volumes following the return to growth from 2H24 after consistent decline in previous five years. This will be driven by renovation and innovation activities. Fitch assumes minimal revenue growth for 2025-26 due to the challenging pricing environment amid muted consumer sentiment. Fitch expects an improvement toward 1% annual growth in the longer term, supported by continued development of the product mix and active promotion activity, constrained by the maturity of the spreads category in many markets and the still moderate share of faster-growing categories and culinary products of plant-based butter, creams and cheese, which Fitch estimates account for about 25% of sales. Sustained High Leverage: Fitch projects EBITDA gross leverage will remain around 7.0x over 2025 to 2028, due to its assumption of limited EBITDA growth. The metric declined to 6.9x at end-2024 (2023: 7.2x), as a result of improved EBITDA, in line with its projections. The company is publicly committed to deleveraging towards more sustainable levels, which Fitch views at below 6.0x. The company has a proven debt management record to optimise the financial interest burden and maturities, but Fitch assumes early repayments will remain limited to revolving credit facility draw-downs with opportunistic refinancings as likely options. Strong EBITDA Margin: Fitch forecasts strong Fitch-adjusted EBITDA margins at around 25.5% on average over 2025 to 2028, supported by efficiency savings and value-creation initiatives, as well as moderated cost inflation, which drove the margin close to an exceptionally high 27% in 2024. Fitch assumes that a rebound in some key raw material costs together with higher marketing and promotion spending, will diminish profitability towards more normal levels, as already signaled in 1Q25. Robust Free Cash Flow: Fitch projects relatively flat FCF at around EUR80 million in 2025 growing towards EUR150 million annually in 2026-2029, corresponding to mid-single digits FCF margins. FCF improvement will be driven by its assumptions of moderating cash interest payments after recent refinancing transactions and benefits from lower interest rates. FCF will be supported by high operating profitability and limited capex needs in 2025 to 2029, which allows higher leverage capacity than peers. Non-underlying cash costs reduced to EUR32 million in 2024 (excluding the effect of the Hugoton facility acquisition) from around EUR300 million over 2019 and 2020, but given their recurrence, Fitch treats EUR30 million as ongoing business-reorganisation costs. Global Spreads Category Leader: Flora Food Group's rating is supported by its leading position in the global plant-based spread market, with major shares in countries that widely consume the products. Sales are more than 3x higher than those of the second-leading company in Flora Food Group's broader reference market of butter and spreads. The rating also considers Flora Food Group's leading market shares in other high-growth plant-based food categories, ensuring long-term revenue resilience. Peer Analysis Flora Food Group generates significantly higher FCF than most packaged-food companies with comparable revenue, due to higher-than-average EBITDA margins and low capex needs. Platform Bidco Limited (Valeo Foods; B-/Stable) is rated one notch lower, which reflects its smaller scale, lower operating margin, less globally recognised brands and higher leverage. Nomad Foods Limited (Nomad; BB/Stable) has a higher rating, despite its more limited geographical diversification and smaller business scale. The rating differential is due to Nomad's lower leverage, and less challenging demand fundamentals for frozen food than for spreads. Premier Foods plc (BB+/Stable), one of the UK's largest packaged food businesses, also has a higher rating than Flora Food Group, which is due to its significantly lower EBITDA gross leverage of below 2.0x. This is balanced by Premier Foods' smaller scale, lower geographical diversification and EBITDA margins. Key Assumptions Fitch's Key Assumptions within Its Rating Case for the Issuer: - Annual organic revenue growth of low single-digit over 2025-2028 - EBITDA margin at around 25.5% in 2025-2028 - Annual capex at around EUR120 million in 2025 (4% of sales) and at around 3.8% of revenue thereafter - No M&A or dividends Recovery Analysis Key Recovery Rating Assumptions The recovery analysis assumes that Flora Food Group would remain a going concern in restructuring and that it would be reorganised rather than liquidated. Fitch assumes a 10% administrative claim in the recovery analysis. Fitch estimates a sustainable, post-reorganisation EBITDA of EUR560 million, on which Fitch bases the enterprise value. Fitch also assumes a distressed multiple of 6.0x, reflecting Flora Food Group's large size, leading market position and high inherent profitability compared with sector peers. Fitch assumes the EUR700 million revolving credit facility would be fully drawn in a restructuring. Its waterfall analysis generates a ranked recovery for the term loan B and senior secured notes creditors in the 'RR4' band, indicating a 'B' instrument rating, in line with the IDR. The recent senior secured add-on notes issued for the partial redemption of the outstanding senior unsecured instruments resulted in the waterfall analysis output percentage declining for the senior secured instruments, which is why Fitch downgraded the instrument in January 2025. For the senior unsecured notes, its analysis generates a ranked recovery in the 'RR6' band, indicating a 'CCC+' rating based on current metrics and assumptions. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Failure to implement the product development strategy, resulting in a continued organic decline in sales and structural deterioration of EBITDA margins to below 20% - EBITDA leverage above 7.5x for a sustained period - Inability to generate positive FCF margins in the mid-single digits, due to higher-than-expected restructuring charges or unfavourable changes in working capital - EBITDA interest coverage below 2.0x Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Successful execution of the corporate strategy, resulting in EBITDA increasing towards EUR900 million - Steady profitability, with FCF in the mid-single digits, on a sustained basis - EBITDA leverage declining towards 6.0x Liquidity and Debt Structure Flora Food Group had EUR218 million cash at end-March 2025 as well as access to a fully undrawn EUR700 million revolving credit facility. Liquidity is supported by its projection of strong positive FCF. The company also has access to a factoring line, of which EUR107 million was used at end-2024. Flora Food Group successfully refinanced its term loan B in 2024 and launched a new secured euro bond in 1Q25, extending maturities to 2028. After its completed issues with partial repayment of its senior unsecured notes, it has addressed part of the maturities in 2026, when its remaining euro and dollar bonds are due. Issuer Profile Flora Food Group is the world's largest multi-category plant-based food producer, including spreads and butter operating in more than 100 countries. 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 Flora Foods Group has an ESG Relevance Score of '4' for Exposure to Social Impacts due to a deterioration in its revenue performance from consumer concerns in some markets about the healthiness of its products, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- Flora Food Management US Corp senior secured LT B Affirmed RR4 B Flora Food Management B.V. senior secured LT B Affirmed RR4 B Sigma Holdco BV LT IDR B Affirmed B senior unsecured LT CCC+ Affirmed RR6 CCC+ ========= S P A I N ========= AERNNOVA AEROSPACE: Fitch Alters Outlook on 'B' IDR to Negative --------------------------------------------------------------- Fitch Ratings has affirmed Aernnova Aerospace S.A.U.'s, a Spanish design, engineering and aerostructures company, Long-Term Issuer Default Rating (IDR) at 'B' and revised the Outlook to Negative from Stable. Fitch has also affirmed Aernnova's senior secured rating at 'B+' with a Recovery Rating of 'RR3'. The Negative Outlook reflects weaker-than-expected performance, driven by low capacity utilisation and high working capital use. It also reflects its expectation that leverage, interest coverage and free cash flow (FCF) will remain weak for the rating despite higher deliveries for most of the company's programmes in 2025. The rating is supported by a large order backlog, providing around four years of revenue, and strong relationships with original equipment manufacturers and a leading position in the niche aero-structure market. However, the rating is constrained by Aernnova's small scale, limited product range and customer diversification, and high leverage. Key Rating Drivers Performance Below Expectations: The increase in the company's term loan B (TLB) by EUR50 million in its amend-and-extend transaction in July 2024, alongside a greater use of factoring and bank borrowings to fund working capital outflow and weaker-than-expected EBITDA in 2024, lifted Fitch-defined EBITDA leverage to 8.4x, which is higher than anticipated. Fitch expects leverage above the rating sensitivity of 6.0x also at end-2025, which together with weaker FCF and EBITDA interest coverage below 2.0x, drives the Negative Outlook. However, Fitch expects strong underlying demand in the aerospace sector to allow the continued gradual recovery of EBITDA margin to support stronger credit metrics from 2026. This would support a revision of the Outlook to Stable, while structurally weaker margins or higher leverage would likely lead to a downgrade. Slower Profitability Rebound: Fitch forecasts EBITDA margins to rise to about 10% in 2025, from 9.6% in 2024 and to improve further by 2028, to above 13%. This reflects Fitch´s view on gradually rising deliveries of Airbus A350 and A320, starting from 2H25, alongside the positive effects of cost-efficiency measures and better pricing. Working Capital Outflow to Ease: Aernnova's FCF in 2023 and 2024 was heavily affected by working capital outflows, due mainly to inventory increases to secure supplies and delays in product delivery. Fitch still expects supply-chain disruptions in 2025, although they are improving, to lead to further working capital outflows. Fitch expects the company to have sustainably positive FCF between 2026 and 2028, as supply chain disruptions ease by end-2025, more deliveries are made and capex falls to at around 2% of revenue. Customer Concentration Risk: Aernnova has improved its customer diversification, following the acquisition of Embraer's aerostructures facilities in Portugal in 2022, which accounted for 21% of revenue in 2024, while reducing its exposure to Airbus SE (A/Stable) to 41% in 2024, from 63% in 2019. Nevertheless, customer concentration risk remains material, as Aernnova's performance is still closely tied to Airbus's output. Key risk mitigators include Aernnova's longstanding partnership with Airbus, involvement in successful Airbus programmes, like the A350 and A320, and the short-term challenges in replacing Aernnova's role in such programmes. Robust Sector Demand: The recovery in air traffic is continuing in 2025, broadly reaching pre-pandemic levels, which leads to robust demand for aircraft and an increase in delivery volumes. The demand for narrow-bodied aircraft is rebounding more strongly than that for widebodies, with both contributing to Aernnova's operational results. Fitch expects narrow-bodied aircraft deliveries to return to pre-pandemic levels by end-2025, with widebodies rebounding by end-2026, bolstering its EBITDA and FCF margins over the medium term. Peer Analysis Aernnova operates as a tier 1-tier supplier in the aerospace and defence market and has good long-term relationships with Airbus and Embraer, its main customers. Aernnova is much smaller than higher-rated peers, such as MTU Aero Engines AG (BBB/Stable) and Leonardo S.p.A. (BBB-/Positive). Its Fitch-defined EBITDA margin of about 9.6% in 2024 was comparable to that of Leonardo but weaker than MTU Aero Engines' and AI Convoy (Luxembourg) S.a r.l.'s. Aernnova's FCF margins have been weak over the last five years but are likely to turn positive, at above 2%, by 2026, which is broadly comparable with other Fitch-rated aerospace suppliers'. Its costumer concentration is higher than its peers'. Aernnova's rating difference with MTU Aero Engines' and Leonardo's underlines its historically weaker capital structure. Fitch forecasts its EBITDA leverage at end-2025 to remain above 5.5x, the 'b' midpoint for Fitch-rated aerospace and defence companies. A stronger recovery especially in widebodied aircrafts would support a quicker improvement in EBITDA. Key Assumptions - Low-single digit revenue rise in 2025 and an annual average increase of 5.5% between 2026 and 2028 - Improvement of deliveries to support a gradual increase of margins to above 13% by 2028, from about 10% in 2025 - Working capital outflows between 0.5% and 3% of revenues during 2025-2028 - Capex at 2% of revenues - No dividend payments until 2028 - No mergers and acquisitions Recovery Analysis - The recovery analysis assumes that Aernnova would be considered a going concern in bankruptcy and be reorganised rather than liquidated. This is driven by its long-term operating performance record, sustainable business and long-term relationships with customers. - The going concern EBITDA of EUR95 million reflects its view of a sustainable EBITDA with an improved deliveries rate and post-reorganisation on which Fitch has based the valuation of the company. - Fitch assumed a 10% administrative claim. - Fitch used an enterprise value multiple of 5.5x EBITDA to calculate a post-reorganisation valuation, which is comparable with multiples applied to aerospace and defense peers. The multiple is based on Aernnova's leading market position in a niche industry, long-term and successful cooperation with its key customer Airbus, high barriers to entry and historically solid pre-pandemic profitability. However, the enterprise value multiple reflects the company's smaller scale than some other Fitch-rated peers, and concentration by geography and customer base. - Fitch deducted about EUR110 million from the enterprise value, related to Aernnova's various factoring facilities. - Fitch estimated the amount of senior debt for creditor claims at EUR703 million, which included the EUR540 million TLB, a secured revolving credit facility (RCF) of EUR100 million and EUR63 million of bank borrowing. These assumptions result in a ranked recovery for the senior secured TLB and RCF within the 'RR3' range. Aernnova has no capacity for additional borrowings without affecting the Recovery Rating and TLB rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Total debt/EBITDA above 6.0x on a sustained basis - Increase in FCF volatility - EBITDA/interest paid below 2.0x - EBITDA margin below 8% Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Total debt/EBITDA sustainably below 5.0x - FCF margin consistently above 3% - EBITDA margin above 11% - Increased customer and market diversification Liquidity and Debt Structure At end-2024, Aernnova had readily available cash (adjusted for about EUR9 million by Fitch) of EUR26 million. Fitch expects positive FCF generation from 2026 to 2028 of about EUR110 million, which along with the EUR85 million RCF and a profitability recovery, will help to restore stronger liquidity in the medium term. In 2024, Aernnova drew down EUR15 million of the EUR100 million RCF. Issuer Profile Aernnova is a leading manufacturer of aerostructures and components, such as wings, tail and fuselage sections as well as secondary structures (doors and housings). 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 ----------- ------ -------- ----- Aernnova Aerospace S.A.U. LT IDR B Affirmed B senior secured LT B+ Affirmed RR3 B+ CAIXABANK CONSUMO 6: DBRS Hikes B Notes Rating to BB(high) ---------------------------------------------------------- DBRS Ratings GmbH upgraded its credit ratings on the Series A and Series B Notes (together, the Notes) issued by Caixabank Consumo 6 F.T. (the Issuer) as follows: -- Series A Notes upgraded to AA (high) (sf) from AA (low) (sf) -- Series B Notes upgraded to BB (high) (sf) from BB (low) (sf) CREDIT RATING RATIONALE The credit rating on the Series A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in September 2036. The credit rating on the Series B Notes addresses the ultimate payment of interest and principal on or before the legal maturity date. The upgrades follow an annual review of the transaction and are based on the following analytical considerations: -- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the March 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 Notes to cover the expected losses at their respective credit rating levels. The transaction is a securitization of unsecured consumer loans granted to individuals residing in Spain by CaixaBank, S.A. (Caixabank), which also services the portfolio and acts as the Issuer account bank. The transaction closed in June 2023. At closing, the static EUR 2.0 billion collateral portfolio consisted of loans granted primarily to borrowers in Catalonia (27.0%), Andalusia (15.4%), and Madrid (15.3%). The transaction included a 12-month revolving period which ended in June 2024. PORTFOLIO PERFORMANCE As of the March 2025 payment date, loans that were 0 to 30 days, 30 to 60 days, and 60 to 90 days delinquent represented 0.3%, 0.2%, and 0.1% of the outstanding portfolio balance, respectively, while loans more than 90 days delinquent represented 1.4%. Gross cumulative defaults amounted to 2.1% of the aggregate initial portfolio balance, with cumulative recoveries of 9.6% to date. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and maintained its base case PD and LGD assumptions at 4.7% and 90.1%, respectively. CREDIT ENHANCEMENT The subordination of the Series B Notes and the cash reserve provides credit enhancement to the Series A Notes while the cash reserve provides credit enhancement to the Series B notes only following the full repayment of the Series A Notes. As of the March 2025 payment date, credit enhancement to the Series A and Series B Notes increased to 22.2% and 6.9% from 16.0% and 5.0%, respectively, at the time of the last annual review of the transaction 12 months ago. The transaction benefits from an amortizing cash reserve available to cover senior expenses and all payments due on the senior-most class of notes outstanding at the time. The reserve was funded to EUR 100.0 million at closing through a subordinated loan granted by CaixaBank and, from the June 2025 payment date onward, as long as the reserve has been replenished to its target level on the previous payment date, it will amortize to its target level, which is 5% of the outstanding principal balance on the Notes. As of the March 2025 payment date, the reserve was at its target of EUR 100.0 million. CaixaBank acts as the account bank for the transaction. Based on the account bank reference rating of AA (low) on CaixaBank which is one notch below its Morningstar DBRS Long Term Critical Obligations Rating of AA, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the Notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Notes: All figures are in Euros unless otherwise noted. EDREAMS ODIGEO: Fitch Gives B+(EXP) Rating on EUR375MM Sec. Notes ----------------------------------------------------------------- Fitch Ratings has assigned eDreams ODIGEO S.A.'s (B+/Stable) planned EUR375 million senior secured notes an expected instrument rating of 'B+(EXP)' with a Recovery Rating of 'RR4'. The company will use the proceeds to repay the existing EUR375 million senior secured notes (also rated B+/RR4) in full, and to pay related fees and expenses. The assignment of final ratings is contingent on the receipt of information conforming to the documentation already reviewed. The 'B+' rating continues to balance eDreams' good brand recognition in Europe, its strong free cash flow (FCF) generation and conservative credit metrics against high, although reducing, business profile risks compared with other subscription-based businesses, modest scale and concentration on flight ticket sales. eDreams' medium-term credit profile will increasingly be driven by the maturity of the business model and quality of the financial policy. Key Rating Drivers Refinancing of Notes Leverage Neutral: eDreams has initiated a refinancing transaction for its notes maturing in July 2027. The new EUR375 million senior secured notes have a maturity of 5.5 years, and the refinancing includes an amended and extended super senior revolving credit facility (RCF) with five-year maturity. The transaction is leverage and rating neutral. Steadily Maturing Business Profile: Fitch views eDreams' business profile as gradually evolving recognising its maturing subscriber ("prime") business, which now represents around 70% of cash revenue, and the group's improving profitability profile as prime members renew their subscription and customer acquisition costs fall. Its attractive consumer proposition has allowed for continued strong growth in prime, despite an increasingly competitive environment. Despite this, Fitch views the group's modest business scale (measured by EBITDA) and concentration on flight ticket sales as continuing to constrain the rating at the current 'B+'. Fitch also believes that eDreams' subscription model is riskier than other rated subscription-based businesses, for instance gym operators, given higher customer churn rates and still maturing business model. Strong Financial Performance: eDreams outperformed its rating case in FY25 (fiscal year ending March 2025), with Fitch-adjusted EBITDA reaching EUR134 million, and Fitch projects EBITDA increasing to around EUR150 million in FY26. This includes adjustments for costs of internally developed software (FY25: -EUR55million) and for deferred revenue from the prime business (FY25: +EUR47 million), which Fitch reclassifies from changes in working capital to better align EBITDA with cash generation. Fitch projects EBITDA margins will continue to improve in FY26 as the share of the more profitable prime business increases, while the number of subscribers that stay with the company for two or more years also grows. Reducing Execution Risks: eDreams has made significant progress in its business model transition into the first subscription model for the travel industry, with 7.3 million prime members as of end-FY25. The business has proved its ability to consistently grow its subscriber base, including in challenging times, such as the pandemic and in the context of a softening consumer environment in 2024. Underlying business development risks remain, but Fitch sees execution risks as well-managed in the group's efforts to evolve the product offer and in its aim to increase market penetration in existing markets as well as for selective expansion into new geographies. Lower Financial Leverage, Financial Policy: Fitch anticipates eDreams' gross EBITDA leverage to decrease towards 2.5x in FY26, a material reduction from 4.3x in FY24. This is largely attributed to the enhanced profitability of its new business model. Fitch estimates growing leverage headroom under the current rating, assuming the company sustains its new subscriber growth, with leverage not a rating constraint. Fitch also notes the growing significance of a consistent financial policy and capital allocation priorities, especially given the company's recently executed share buy-backs. Highly Cash-Generative Business Model: eDreams operates an asset-light business model with the majority of its costs variable and mostly consisting of customer acquisition, merchant, IT and call centre costs. The business also has limited capex requirements, resulting in strong FCF generation, which favourably differentiates eDreams from other 'B+' rated peers. Fitch projects eDreams will sustain positive FCF over the medium term, assuming continued growth in the prime business and neutral changes in working capital (after adjusting for deferred prime revenue). Neutral Outlook for Travel: Over the past three years, eDreams has benefited from a faster rebound of European travel routes, with most EMEA airlines seeing volumes return to pre-pandemic levels. Fitch believes that sector fundamentals will remain neutral for the business in 2025, with flight volumes expected to surpass 2024 levels, although this will be partially offset by pressure on ticket prices. Although consumer demand has softened, evidenced by smaller basket sizes, eDreams has been less affected than peers due to the evolution of its business model to subscription-based. Strong Positioning in Highly Competitive Market: The global online travel agent market is characterised by low switching costs and intense competition from bigger and more diversified operators, metasearch sites and the direct channels of airlines and hotels, making industry players more vulnerable to higher customer acquisition costs and rates of churn. However, the highly fragmented travel industry in Europe continues to favour the use of intermediators and online-based players are enjoying increasing penetration. eDreams' fully online model, with well-developed mobile channels and different web-based brands, is a competitive advantage. Peer Analysis eDreams trails global online travel agents like Expedia Group, Inc. (BBB/Stable) and Booking.com in scale, geographic diversification, market penetration, and variety of offerings across hotels, flights, cars, and insurance. Fitch views eDreams' subscription business model as less mature than the transactional business model that Expedia and Booking.com operate. The rating differential with Expedia is further explained by the latter's stronger financial flexibility. Compared with other-subscription-based businesses, such as gym operators, eDreams bears higher business risk in view of its less sticky customer base and more discretionary product. Fitch rates eDreams higher than UK-based gym operators such as Deuce Midco Limited (B/Positive) and Pinnacle Bidco plc (B-/Stable), driven by more conservative financial structure and considerably stronger FCF profile. While not direct competitors, tech companies like TeamSystem S.p.A. (B/Stable) and Sophos Intermediate I Limited (Sophos; B/Stable) both operate on a subscription-based model. With a significantly lower churn rate than eDreams, both peers demonstrate strong revenue visibility, achieving above 86% recurring revenue. Both TeamSystem and Sophos also boast higher EBITDA margins, trending towards 36% and 26%, respectively, compared with under 20% anticipated for eDreams in the same year. However, TeamSystem's aggressive acquisition strategy has led to increased leverage, with Fitch-defined EBITDA leverage projected at 5.3x in 2025, notably higher than eDreams' 3.0x forecast for this year. Fitch expects Sophos's EBITDA leverage will also see a spike to 7.6x (pro-forma 6.6x) in FY25 from M&A, before falling to 6.3x in FY26. Key Assumptions - Revenue from non-prime business reducing to around 20% of total revenue by FY27 - Addition of 0.9 million new prime subscribers in FY26 - No deterioration in churn rates and increasing share of subscribers that stay with the company for two and more years - Prime average revenue per user (ARPU) remaining broadly stable over FY26-FY28 after declining towards EUR70-75 in FY25 (vs EUR78 in FY24) - Stable working capital (after adjusting for changes in deferred prime revenue) - Fixed costs at EUR110million-EUR130 million a year (excluding personnel costs that Fitch reclassifies from capex) - Capex of around EUR50 million-EUR70 million a year, of which 80% is expensed, reducing Fitch-adjusted EBITDA - No bolt-on M&A - Share buybacks of around EUR50 million a year from FY26-FY28, financed by internally generated cash flows Recovery Analysis eDreams would be considered a going concern in bankruptcy and would be reorganised rather than liquidated; Fitch has assumed a 10% administrative claim in the recovery analysis. Fitch assumes a going concern EBITDA of EUR80 million which Fitch believes should be sustainable post-restructuring. Fitch assumes a 5.0x distressed enterprise value-to-EBITDA multiple, reflecting a weaker competitive position than global leaders. These assumptions result in a distressed enterprise value of about EUR360 million. Based on the payment waterfall, Fitch has assumed the group's amended and extended EUR185 million RCF to be fully drawn and ranking senior to its envisaged EUR375 million senior secured notes. Its waterfall analysis generates a ranked recovery for its senior secured debt in the 'RR4' band, indicating a 'B+' instrument rating, in line with eDreams IDR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Increasing churn rates or diminishing share of prime subscribers that have been with the company for two and more years or further decrease in ARPU, leading to declining or stagnating profitability margins - EBITDA leverage above 4.5x on a sustained basis - FCF margins reducing to low single digits Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Maturity of the subscription business model, reflected in reduced churn rates and higher proportion of subscribers that stay with the company for two and more years - Increased business scale with Fitch-adjusted EBITDA above EUR200 million on a sustained basis, alongside improving product and geographical diversification - Fitch-adjusted EBITDA margins trending above 20%, alongside FCF margins sustained in the high single digits - EBITDA leverage below 3x on a sustained basis, supported by a consistent financial policy Liquidity and Debt Structure As of end-March 2025, eDreams had EUR77 million of reported cash and EUR146 million available for cash drawings under its envisaged amended and extended EUR185 million RCF. Fitch projects positive FCF will contribute to cash build-up over the next four years, despite assumed share buybacks. Following the upcoming leverage neutral refinancing of the notes and extension of the group's super senior RCF, eDreams' RCF will mature in 2030, and the new senior secured notes will be due in 2030. Fitch assesses refinancing risks as limited in view of low leverage and strong cash generation. Issuer Profile eDreams is a travel subscription platform and is one of the largest e-commerce businesses in Europe. Date of Relevant Committee 22-Jan-2025 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 ----------- ------ -------- eDreams ODIGEO S.A. senior secured LT B+(EXP) Expected Rating RR4 =========================== U N I T E D K I N G D O M =========================== AVON FINANCE 3: Fitch Lowers Rating on Class E Notes to 'Bsf' ------------------------------------------------------------- Fitch Ratings has downgraded Avon Finance No. 3 PLC's class C to F notes, and downgraded Avon Finance No.4 PLC's class B to E notes and the class X note, as detailed below. Fitch has removed all tranches from Under Criteria Observation. Entity/Debt Rating Prior ----------- ------ ----- Avon Finance No.4 PLC Class A XS2683120211 LT AAAsf Affirmed AAAsf Class B XS2683133891 LT AA-sf Downgrade AAsf Class C XS2683152339 LT BBBsf Downgrade A+sf Class D XS2683170158 LT BBsf Downgrade BBB+sf Class E XS2683196468 LT B-sf Downgrade BBsf Class F XS2683221324 LT CCCsf Affirmed CCCsf Class G XS2683222728 LT CCsf Affirmed CCsf Class X XS2683225663 LT CCsf Downgrade CCCsf Avon Finance No.3 PLC Class A XS2667751130 LT AAAsf Affirmed AAAsf Class B XS2667751486 LT AA-sf Affirmed AA-sf Class C XS2667752450 LT BBB+sf Downgrade Asf Class D XS2667752617 LT BB+sf Downgrade BBB+sf Class E XS2667752708 LT Bsf Downgrade BB+sf Class F XS2667752880 LT B-sf Downgrade Bsf Class X XS2667753425 LT CCCsf Affirmed CCCsf Transaction Summary Avon Finance No.3 is a refinance of Avon Finance No.1 and Avon Finance No.4 is a refinance of Avon No.2 . The transactions contain pre-global financial crisis loans originated by GMAC and Platform Home Loans and have features typically associated with non-conforming pre-crisis lending. KEY RATING DRIVERS UK RMBS Rating Criteria Updated: The rating actions reflect Fitch's updated UK RMBS Rating Criteria (see "Fitch Ratings Updates UK RMBS Rating Criteria" dated 23 May 2025). Key changes include updated representative pool weighted average foreclosure frequencies (WAFFs), changes to sector selection, revised recovery rate assumptions and changes to cashflow assumptions. The non-conforming sector representative 'Bsf' WAFF has undergone the most significant revision. Newly introduced borrower-level recovery rate caps are applied to underperforming seasoned collateral, for both owner-occupied and buy-to-let sub-portfolios in this case. Fitch now applies dynamic default distributions and high prepayment rate assumptions rather than the previous static assumptions. Transaction Adjustment: Fitch has applied its non-conforming assumptions and an owner-occupied transaction adjustment of 0.75x and buy-to-let transaction adjustment of 1.0x to foreclosure frequencies for both transactions. This is because the transactions' historical performance of loans being greater than three months in arrears has been better than Fitch's non-conforming index. In addition, both transactions have lifetime performance indicators significantly below 100%, indicating overperformance compared with their criteria-derived WAFF. Reserves Mitigate Payment Interruption: The transactions have a liquidity reserve at 0.5% of the closing balance of the class A and B notes. The target amount is the lower of 0.5% of class A and B notes at closing and 1% of the class A and B notes' outstanding balance. The general reserve for Avon No.3 is static and 0.75% of the closing portfolio balance. Avon No.4 has a general reserve, also 0.75% of the portfolio balance, which amortises at this percentage. If the general reserve is drawn below 0.6% of the closing portfolio balance for Avon No.3 or outstanding portfolio balance for Avon No.4, the liquidity reserve will step up to a dynamic target of 1.5% of the current class A and B notes' balance. The reserve step-up provides protection to payment interruption risk while the general reserve provides credit enhancement. The reserve funds in both transactions are funded at their target amounts. Worsening Arrears: Early-stage arrears have begun to stabilise since the previous review, with one-month-plus arrears increasing by 0.3% to 19.6% for Avon 3 and by 2.2% to 22.4% for Avon 4. However, the arrears have migrated to later stages for both transactions, with three-months-plus arrears increasing to 12.5% and 15.5% (10.4% and 12.1% at March 2024), respectively, which results in increased foreclosure frequency assumptions. Data Reporting Issues: Fitch has noticed inconsistent reporting regarding late-stage arrears in Avon 3 and repossessed properties in Avon 4. Fitch has raised these issues with the cash managers and Fitch expects them to be rectified. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The transactions' performance may be affected by adverse changes in market conditions and the economic environment. Weakening economic performance is strongly correlated to increasing delinquencies and defaults that could reduce credit enhancement available to the notes. In addition, unexpected declines in recoveries could result in lower net proceeds, which may make certain notes susceptible to negative rating action, depending on the extent of the decline in recoveries. Fitch found that a 15% increase in the WAFF and 15% decrease of the weighted average recovery rate (WARR) would imply the following for Avon Finance No.3: Class A : 'AA-sf' Class B: 'BBB+sf' Class C: 'BBsf' Class D: 'Bsf' Class E: 'CCCsf' Class F: Below 'CCCsf' Class X: Below 'CCCsf' Fitch found that a 15% increase in the WAFF and 15% decrease of the WARR would imply the following for Avon Finance No.4: Class A: 'AA-sf' Class B: 'BBBsf' Class C: 'BB-sf' Class D: 'B-sf' Class E: Below 'CCCsf' Class F: Below 'CCCsf' Class G: Below 'CCCsf' Class X: Below 'CCCsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing credit enhancement and, potentially, upgrades. Fitch found that a 15% decrease in the WAFF and 15% increase of the WARR would imply the following for Avon Finance No.3: Class A: 'AAAsf' Class B: 'AA+sf' Class C: 'A+sf' Class D: 'A-sf' Class E: 'BB+sf' Class F: 'B+sf' Class X: Below 'CCCsf' Fitch found that a 15% decrease in the WAFF and 15% increase of the WARR would imply the following for Avon Finance No.4: Class A: 'AAAsf' Class B: 'AA+sf' Class C: 'A+sf' Class D: 'BBB+sf' Class E: 'BBsf' Class F: 'CCCsf' Class G: Below 'CCCsf' Class X: Below 'CCCsf' USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Prior to the transaction closing, Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Avon Finance No.3 and Avon Finance No.4 have an ESG Relevance Score of '4' for Customer Welfare - Fair Messaging, Privacy & Data Security due to the high proportion of interest-only loans in the legacy owner-occupied sub-pool, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Avon Finance No.3 and Avon Finance No.4 have an ESG Relevance Score of '4' for Human Rights, Community Relations, Access & Affordability due to a significant proportion of the pool containing OO loans advances with limited affordability checks, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BUSINESS MORTGAGE 7: Fitch Lowers Rating on Two Tranches to 'Dsf' ----------------------------------------------------------------- Fitch Ratings has downgraded Business Mortgage Finance 7 Plc's (BMF7) class M1 and M2 notes to 'Dsf' from 'CCCsf' and affirmed the others. Fitch has subsequently withdrawn the ratings. The downgrades follow a failure to pay interest on the May interest payment date (IPD) that was not cured during the 10 business day remedy period, which constitutes an event of default. Entity/Debt Rating Prior ----------- ------ ----- Business Mortgage Finance 7 Plc Class B1 123282AJ4 LT Csf Affirmed Csf Class B1 123282AJ4 LT WDsf Withdrawn Class C 123282AL9 LT Csf Affirmed Csf Class C 123282AL9 LT WDsf Withdrawn Class M1 123282AG0 LT Dsf Downgrade CCCsf Class M1 123282AG0 LT WDsf Withdrawn Class M2 123282AH8 LT Dsf Downgrade CCCsf Class M2 123282AH8 LT WDsf Withdrawn Transaction Summary BMF7 is a securitisation of commercial mortgages to small and medium sized enterprises and to the owner-managed business community, originated by Commercial First Mortgages Limited. Fitch has withdrawn the class M1 and M2 notes' ratings as they have defaulted. The class B1 and C notes' ratings have also been withdrawn as they are no longer considered by Fitch to be relevant to the agency's coverage due to the senior notes defaulting, the notes not receiving interest for a number of periods and being fully impaired. Fitch will no longer provide analytical coverage of BMF7. KEY RATING DRIVERS Timely Interest Payment Missed: On the May 2025 IPD, the full payment of interest due on the class M1 and M2 notes was not made and not remedied during 10 business days. This constitutes an event of default under the transaction documentation, as these notes are the most senior outstanding. Consequently, Fitch downgraded the notes to 'Dsf'. The liquidity facility has increasingly been drawn over the last few years to cover interest payment shortfalls on the class M1 and M2 notes. As of the May 2025 IPD, the remaining liquidity available was insufficient to cover the shortfall after application of revenue from the assets. The general reserve fund has been fully drawn for some time. Junior Ratings Affirmed: Fitch affirmed the class B1 and C notes. They have received no interest payment for several IPDs and their principal deficiency ledger balance is at 100% of the note balance. Fitch expects an event of default for these notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Not applicable as the ratings have been withdrawn. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Not applicable as the ratings have been withdrawn. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ETERLAST LIMITED: Opus Restructuring Named as Administrators ------------------------------------------------------------ Eterlast Limited was placed into administration proceedings In the High Court of Justice Business and Property Courts of England and Wales, Insolvency & Companies List (ChD), Court Number: CR-2025-003707, and Allister Manson and Bradley Parrott of Opus Restructuring LLP were appointed as administrators on May 30, 2025. Eterlast Limited specialized in information technology service activities. Its registered office and principal trading address is at Third Floor, 20 Old Bailey, London, EC4M 7AN The administrators can be reached at: Allister Manson Bradley Parrott Opus Restructuring LLP 322 High Holborn, London WC1V 7PB For further details, contact: Niraj Patel Email: niraj.patel@opusllp.com EUROSAIL PRIME-UK 2007-A: Fitch Cuts Rating on Cl. M Notes to B-sf ------------------------------------------------------------------ Fitch Ratings has downgraded Eurosail Prime-UK 2007-A PLC's class M notes. All tranches have been removed from Under Criteria Observation. Entity/Debt Rating Prior ----------- ------ ----- Eurosail Prime-UK 2007-A PLC Class A1 XS0328494157 LT AAAsf Affirmed AAAsf Class A2 (restructured) XS1074651628 LT AAAsf Affirmed AAAsf Class B (restructured) XS1074654481 LT B-sf Affirmed B-sf Class C (restructured) XS1074654648 LT CCCsf Affirmed CCCsf Class M (restructured) XS1074652782 LT B-sf Downgrade B+sf Transaction Summary The transaction comprises non-conforming and buy-to-let UK mortgage loans originated by Southern Pacific Mortgage Limited (formerly a wholly owned subsidiary of Lehman Brothers) and Alliance & Leicester. The transaction had originally issued non-UK pound notes where the currency swap provider was Lehman Brothers. When Lehman Brothers jumped to default, it had posted insufficient collateral to fund a replacement currency swap. The transaction was therefore restructured in 2014 with all notes redenominated to UK pounds. KEY RATING DRIVERS UK RMBS Rating Criteria Updated: The rating actions reflect its updated UK RMBS Rating Criteria (see "Fitch Ratings Updates UK RMBS Rating Criteria" dated 23 May 2025). Changes include updated representative pool weighted average foreclosure frequencies (WAFFs), changes to sector selection, revised recovery rate assumptions and changes to cashflow assumptions. The non-confirming sector representative 'Bsf' WAFF has undergone the most significant revision. Fitch now applies borrower-level recovery rate caps to underperforming seasoned collateral. Fitch also applies dynamic default distributions and high prepayment rate assumptions rather than static assumptions. Performance Deteriorating, Still Above Average: The transaction's performance has deteriorated due to the cost of living crisis, but arrears remain significantly below the non-conforming sector average. This transaction's performance has been stronger than other Eurosail transactions as its borrowers had no prior adverse credit history. Arrears above one month increased to 9.89% from 8.48% over 12 months but remained far below the peer transactions and non-conforming sector average of 25% (26% at last review). Similarly, arrears above three months increased to 7.09% from 4.24% compared to the non-conforming sector average of 18.9% (17.9% at last review). Transaction Adjustment: Fitch has applied its non-conforming assumptions and an owner-occupied transaction adjustment of 0.5x and BTL transaction adjustment of 1.0x. This is because the transaction's historical performance of loans greater than three months in arrears or more has been better than Fitch's non-conforming index. BTL Recovery Rate Cap: The transaction has reported losses that exceed the losses expected based on the indexed value of the properties in the pool. Fitch has therefore applied borrower-level recovery rate caps to the BTL loans in the transaction in line with those applied to non-conforming loans, where the recovery rate cap is 85% at 'Bsf' and 65% at 'AAAsf'. Fee Levels to Normalise: Fixed transaction fees are gradually falling after rises in recent years due to the transaction changing the transaction account bank from Danske Bank A/S to HSBC Bank plc and the notes' transition from LIBOR to SONIA. The fee rises were mainly driven by legal-related invoices on the bank change and SONIA transition. Fitch expects fees to continue falling in the short to medium term. Fitch therefore modelled fees in line with a stabilised average. If fees remain high, Fitch may adjust its fixed-fee assumptions for the transaction, which could adversely affect the junior notes. Fitch therefore revised the Outlook on the class M and class B notes to negative. Sequential Amortisation Benefits Senior Notes: The deal is paying sequentially, allocating redemption payments to the most senior notes. The amortisation switched to sequential from pro rata payment in September 2023 when the reserve fund fell below its target level. It may go back to pro rata in the short term, but ultimately Fitch expects sequential amortisation to continue in the long run. Sequential amortisation is likely to be further supported by the 10% switchback clause, which is also approaching fast, as the note balance has fallen to 13.1%. When this occurs the transaction will irreversibly switch to sequential amortisation. Continuous depletion of the reserve fund may negatively affect the rating of the A2 notes, as it will not safeguard against payment interruption risk. Class A2 does not have access to the liquidity fund. However, Fitch expects the reserve fund levels to be adequate for short- to medium-term protection, supported by the collection account bank's rating triggers and the servicer being owned by the same bank. Potential Tail Risks: The transaction has a significant proportion of owner-occupied interest-only loans (86.7%), which represents a high back-loaded risk profile for the portfolios. The loan count in the transaction was 244 at end-March 2025. The diminishing loan count may lead to performance volatility, which will limit any upgrades of the mezzanine and junior notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The transaction's performance may be affected by adverse changes in market conditions and economic environment. Weakening economic performance is strongly correlated to increasing levels of delinquencies and defaults that could reduce credit enhancement available to the notes. In addition, unanticipated declines in recoveries could also result in lower net proceeds, which may make certain notes susceptible to negative rating action depending on the extent of the decline in recoveries. Fitch found that a 30% increase in the WAFF and a 30% decrease in the weighted average recovery rate would not result in a downgrade for classes A1 and A2. The other notes are already in distressed categories. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing credit enhancement and, potentially, upgrades. Fitch found that a decrease in the WAFF of 15% and an increase in the weighted average recovery rate of 15% would lead to an upgrade of the class M and B notes by up to three notches. The classes A1 and A2 are already at the highest achievable rating. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations ES 2007-A has an ESG Relevance Score of '4' for 'Human Rights, Community Relations, Access & Affordability' due to a significant proportion of the pools containing owner-occupied loans advanced with limited affordability checks, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. ES 2007-A has an ESG Relevance Score of '4' for 'Customer Welfare - Fair Messaging, Privacy & Data Security' due to the pool exhibiting an interest-only maturity concentration of legacy non-conforming owner-occupied loans of greater than 20%, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit neutral or have only a minimal credit impact on the 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 of the materiality and relevance of ESG factors in the rating decision. GREENBROOK HEALTHCARE: Ernst & Young Named as Administrators ------------------------------------------------------------ Greenbrook Healthcare (Hounslow) Limited was placed into administration proceedings in Business and Property Courts of England and Wales, Insolvency & Companies List (ChD), Court Number: CR-2025-003876, and Samuel James Woodward and Timothy Vance of Ernst & Young LLP were appointed as administrators on June 6, 2025. Greenbrook Healthcare engaged in general medical practice activities. Its registered office is c/o Ernst & Young LLP 12 Wellington Place, Leeds, LS1 4AP (Formerly) First Floor – West, Cardinal Square, 10 Nottingham Road, Derby, Derbyshire, DE1 3QT Its principal trading address is at First Floor – West, Cardinal Square, 10 Nottingham Road, Derby, Derbyshire, DE1 3QT The joint administrators can be reached at: Timothy Vance Ernst & Young LLP 12 Wellington Place Leeds, LS1 4AP -- and -- Samuel James Woodward Ernst & Young LLP 2 St Peter's Square Manchester, M2 3EY For further information, contact: The Joint Administrators Email: TotallyGroupAdmin@uk.ey.com Alternative contact: Catriona Lynch LONDON BRIDGE 2025-1 PLC: DBRS Finalizes CCC Rating on X Notes -------------------------------------------------------------- DBRS Ratings Limited finalized its provisional credit ratings on the notes issued by London Bridge Mortgages 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 (sf) -- Class E Notes at BB (high) (sf) -- Class F Notes at B (high) (sf) -- Class X Notes at CCC (sf) The finalized credit ratings on the Class E and Class F notes are higher than the provisional credit ratings Morningstar DBRS assigned because of the lower cost of funding in the transaction after the notes priced. 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 March 2067. 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 and, until then, the ultimate payment of interest and the ultimate repayment of principal on or before the final maturity date. The credit rating on the Class X notes addresses the ultimate payment of interest and principal on or before the legal final maturity date. Morningstar DBRS does not rate the residual certificates also 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 issued 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 issued 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 pay a coupon linked to the daily compounded Sterling Overnight Index Average. Crédit Agricole Corporate & Investment Bank (Crédit Agricole CIB) is 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) acts as the Issuer Account Bank in the transaction and holds the Issuer's transaction account, the liquidity reserve fund (LRF), and the swap collateral account, while Barclays Bank PLC was 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 was 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 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 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. MARKET HOLDCO 3: Fitch Affirms 'B' LongTerm IDR, Outlook Positive ----------------------------------------------------------------- Fitch Ratings has affirmed Market Holdco 3 Limited's (Morrisons) Long-Term Issuer Default Rating (IDR) at 'B'. The Outlook is Positive. The Positive Outlook reflects Fitch's expectations of deleveraging and improvement in the fixed charge coverage ratio to levels that are consistent with a higher rating, following debt reduction from disposal proceeds in May 2024. In its view, the flexibility from excess cash holdings, following stronger cash generation in FY24 (financial year ending October) and ground rent transaction proceeds, balances the increased execution risk on profits growth. The IDR reflects a robust business profile that benefits from vertical integration, well-invested stores, channel diversification and cash-generation capabilities, which balance the high leverage. Key Rating Drivers Execution Risk on Profits Growth: Fitch continues to expect EBITDA (post rents) at around GBP670million in FY25, which is similar to its forecast from December 2024. Fitch believes execution risk on delivering the profit growth has somewhat increased due to labour cost inflation and intensified competition in the UK grocery market. Nevertheless, in 1Q25, Morrisons reported GBP10 million increase in underlying EBITDA compared with a GBP65 million (pre-rents) year-on-year uplift in its forecast for FY25 and increased its cost savings target. Morrisons has continued to report positive like-for-like sales growth, supported by a focussed strategy under its new CEO. It slowed in 1Q25 due to a cyber-attack on one of its suppliers. Fitch anticipates that revenue growth in FY25 will be supported by food price inflation resuming, growth of the wholesale segment and the contribution from acquired Sandpiper stores. Deleveraging on Track: Fitch continues to forecast EBITDAR leverage of near 6.0x at FYE25 and expect it to be sustained below 6.0x thereafter, which is reflected in the Positive Outlook. This also captures the flexibility permitted by excess cash holdings, which Fitch expects to be used for debt reduction, balancing the increased execution risk on profit growth. In FY24, Morrisons repaid around GBP1.65 billion of debt (from GBP5.7 billion at FYE23) from its petrol forecourts (PFS) disposal proceeds. In 1QFY25 it further reduced its financial debt by GBP200 million from ground rent transaction proceeds. Lease liabilities are derived by capitalising lease cost proxy, calculated as the sum of right-of-use assets depreciation and interest on leases, at an 8x multiple. Ground Rent Transaction: Morrisons raised GBP331 million net proceeds via a 45-year ground rent transaction at initial interest of around 4% in September 2024. This reduced its share of freehold properties within the restricted group, as 76 properties were transferred, via Morrisons' parent, outside the restricted group to secure the funding. Fitch understands from management that the properties are back-to-back leased for an initial cash payment of near GBP20million a year to the restricted group. The proceeds were used to reduce debt and were re-invested. Limited FCF: Fitch forecast saverage annual positive free cash flow (FCF) of about GBP50 million in FY25 to FY28. This is down from GBP150 million-200 million, following the PFS disposal, as lower EBITDA was not fully offset by lower interest costs and lower, albeit still sustained, capex post disposal. Timely Refinancing of Maturities: Fitch expects timely addressing of remaining GBP1.3 billion debt maturing in November 2027. Morrisons proactively addressed part of its 2027 debt maturities with an amend and extend (A&E) of its secured term loans in December 2024. As a result, the maturities of the term loans have been extended beyond the GBP1.2 billion unsecured notes maturing in 2028. However, the term loans have a springing maturity clause, which may bring forward their maturity under certain conditions. Market Share Stabilised: Morrisons is one of the leading food retailers in the competitive UK market, with good brand and scale. Its market share had stabilised since early 2023, although it slightly dipped in May 2025. Recent volume increases have been driven by improved product availability on its shelves, which helps boost profits while allowing Morrisons to remain competitive in the low-margin grocery segment. Morrisons is more food-focused than some close peers and its vertical integration into own food manufacturing, which accounts for 50% of the fresh food it sells, helps it manage its profitability. Peer Analysis Fitch rates Morrisons using its global Food Retail Navigator. Morrisons is rated one notch below Bellis Finco plc (ASDA; B+/Stable), which benefits from larger scale and greater diversification following the acquisition of EG Group's UK operations. Morrisons and ASDA are smaller than UK market leader Tesco PLC (BBB-/Stable), with operations focused in the UK. Morrisons is larger and more diversified than WD FF Limited (Iceland; B/Stable). Morrisons has a smaller market share than ASDA, but has performed better recently with continued like-for-like growth. Both companies have established direct access to the convenience segment, with Morrisons benefiting from its larger number of stores, which Fitch estimates to be slightly smaller on average. Both are exposed to execution risk in growth in sales and profits from conversions to their brand and product mix changes. Morrisons also has indirect access to convenience via its wholesale channel. Fitch forecasts EBITDAR margins to trend towards 6% and funds from operations margins to trend towards 3% for both companies. Food retail is cash-generative, enabling deleveraging, which also depends on capital-allocation decisions by financial sponsors. Morrisons' leverage was above ASDA's in 2024. Recent change to ASDA's strategy to accelerate sales volume growth could lead to temporary 6.5x leverage by end-2025, which is above Morrisons at around 6.0x by FY25. However ASDA benefits from stronger fixed charge cover of around 2.5x (Morrisons FY24: 1.4x). Deleveraging is subject to execution risk on earnings growth for both. Morrisons' leverage is meaningfully higher than Tesco's 3x, and smaller-scale Iceland at around 5x. Key Assumptions Fitch's Key Assumptions Within Its Rating Case for the Issuer - Low single-digit revenue growth for the remaining business during FY25-FY28, following the disposal of the PFS business - Retail in-store and online sales growth by 1.5% a year, driven by price increases as inflation returns while volume growth flattens - Other sales to grow by 20% in FY25, followed by 7% in FY26-FY28, driven by the expansion of the existing wholesale business from new clients and the annualisation of the wholesale agreement with MFG on disposed PFS sites. - EBITDA (after leases) margin increasing from 4.1% in FY24 (pro forma) to 4.3% in FY25 and 4.5% by FY27. This will be driven by sales growth across retail and wholesale, and operational and cost-savings measures helping offset the cost inflation - Working-capital inflow (excluding changes in provisions) of around GBP30 million in FY25, driven by remaining benefits from the working-capital programme, before turning neutral through to FY28 - Capex at GBP350 million for FY25, followed by an increase to GBP390 million for FY26 to FY28 - Rental costs at around GBP230 million a year, GBP20 million of which is not capitalised - Debt repayment of GBP200 million in FY25 from the A&E exercise in 1QFY25. - No dividend payments and no M&A to FY28, except for the bolt-on acquisition of 38 convenience stores in Channel Islands, completed in November 2024 Recovery Analysis According to its bespoke recovery analysis, higher recoveries would be realised by liquidation in bankruptcy rather than reorganised as a going-concern. This reflects Morrisons' high proportion of freehold assets ownership, even after the ground rent transaction, which has removed GBP894 million of the restricted group's assets The liquidation estimate reflects Fitch's view of the value of balance-sheet assets that can be realised in sale or liquidation and distributed to creditors. Fitch assumes Morrisons' GBP1 billion revolving credit facility (RCF) to be fully drawn and deducts 10% from the enterprise value for administrative claims. Following completion of the A&E, some debt reduction and adjustment for lower asset values due to the ground rent transaction, ranked recovery for the senior secured debt remains in the 'RR1' band with a percentage of 95%, indicating a 'BB' instrument rating, three notches above the IDR. The recovery percentage is higher than 92% at the last review, reflecting the greater amount of inventory and receivables at year end. Senior secured debt includes the two tranches of GBP385 million and EUR1 billion A&E term loans B, a GBP1 billion RCF incurred by Market Bidco Limited, as well as GBP823 million and EUR596 million senior secured notes issued by Market Bidco Finco Plc, all which rank equally. They rank ahead of the GBP1.2 billion senior notes issued by Market Parent Finco Plc. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Weaker-than-expected performance with EBITDAR leverage no longer expected near 6.0x by FY25 or below 6.0x from FY26 would lead to a revision of the Outlook to Stable - Like-for-like decline in sales exceeding other big competitors, especially if combined with lower profitability leading to neutral FCF and reduced deleveraging capacity - Evidence of a more aggressive financial policy, for example, due to material under-performance relative to Fitch's forecasts, material investments or shareholder remuneration leading to cash outflows, and lack of debt repayments - EBITDAR leverage trending above 7.0x - EBITDAR fixed charge cover below 1.5x on a sustained basis Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Like-for-like sales growth leading to increasing cash profits and accumulated cash for debt prepayment, with no adverse changes to its financial policy - EBITDAR leverage below 6.0x on a sustained basis - EBITDAR fixed-charge coverage above 1.6 Liquidity and Debt Structure Fitch expects Morrison to have a healthy cash balance of around GBP 500 million at FYE25, in addition to its GBP1 billion committed undrawn RCF. This was aided by ground rent proceeds, which have been partly allocated towards GBP200 million debt reduction and to fund GBP60 million payment for a recent bolt-on acquisition in December 2024. After completing the refinancing transaction in November 2024, Morrison has improved its debt maturity schedule by reducing its next significant debt maturity in 2027 to GBP1.3 billion. The group has also extended GBP936 million of its RCF to August 2030, while the maturity for the remaining GBP64 million remains in August 2027. The RCF benefits from a springing maturity three months ahead of the GBP1.3 billion equivalent senior secured notes, accelerating maturity to August 2027 if more than GBP413 million remains outstanding by then. Issuer Profile Morrisons is the fifth-largest UK supermarket chain, operating around 500 mid-sized supermarkets and nearly 1,600 Morrisons Daily sites, including the franchise sites. 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 ----------- ------ -------- ----- Market Bidco Limited senior secured LT BB Affirmed RR1 BB Market Bidco Finco plc senior secured LT BB Affirmed RR1 BB Market Holdco 3 Limited LT IDR B Affirmed B Market Parent Finco plc senior unsecured LT CCC+ Affirmed RR6 CCC+ PIERPONT BTL 2025-1: Fitch Assigns BB+sf Final Rating on Cl. X Debt ------------------------------------------------------------------- Fitch Ratings has assigned Pierpont BTL 2025-1 PLC final ratings. Entity/Debt Rating Prior ----------- ------ ----- Pierpont BTL 2025-1 PLC A XS3077208760 LT AAAsf New Rating AAA(EXP)sf B XS3077209065 LT AA+sf New Rating AA-(EXP)sf C XS3077212010 LT A+sf New Rating A(EXP)sf D XS3077212796 LT Asf New Rating BBB+(EXP)sf E XS3077212952 LT BBB+sf New Rating BB+(EXP)sf X XS3077213257 LT BB+sf New Rating BB+(EXP)sf Transaction Summary Pierpont BTL 2025-1 PLC is a securitisation of buy-to-let (BTL) mortgages originated in England, Wales and Scotland by LendInvest BTL Limited (LendInvest), and MT Finance (MTF), which entered the BTL mortgage market in 2017 and 2022, respectively. LendInvest and MTF are the named servicers for their respective sub-pools (67% of the total pool for LendInvest and 33% for MTF) with servicing activities delegated to Pepper (UK) Limited. This is the third transaction in the Pierpont series and the second to be rated by Fitch. KEY RATING DRIVERS Prime BTL Underwriting: The pool has a weighted average (WA) original loan-to-value ratio of 75.1%, a Fitch-calculated WA interest coverage ratio of 94.4% and consists predominantly of interest-only loans. LendInvest and MTF's lending policies are in line with those of prime BTL lenders and the transaction's attributes are in line with peer Fitch-rated BTL transactions. MTF has limited BTL origination performance data history, so Fitch applied a transaction adjustment of 1.1x to these loans. Specialist Properties: By current balance, 38.2% of the properties are classed as houses in multiple occupation (HMO) or multi-unit freehold blocks (MUFBs). These properties are generally higher-yielding and require active management. Both LendInvest and MTF require landlords to have a minimum of 12 months' experience when advancing against these properties. Properties classed as HMOs or MUFBs attract a higher foreclosed sale adjustment discount in Fitch's asset analysis, which affects the WA recovery rate (RR) calculation. Fixed Hedging Schedule: The issuer entered into a swap at closing to mitigate the interest rate risk arising from the fixed-rate mortgage loans prior to their reversion date. The swap notional will be based on a pre-defined schedule assuming a constant prepayment rate based on past borrower prepayment behaviour on comparable mortgage products. If the loans prepay ahead of the schedule or default, the issuer will be over-hedged. The excess hedging is beneficial to the issuer in a rising interest-rate scenario and detrimental when interest rates are falling. Product switches will be repurchased, mitigating the risk of pool migration towards lower-yielding assets and the need for additional hedging. Alternative High Prepayment Rates: The transaction contains a high proportion of fixed rate loans subject to early repayment charges. The point at which these loans are scheduled to revert from a fixed rate to the relevant follow-on rate will likely determine when prepayments will occur. Fitch has therefore applied an alternative high prepayment stress that tracks the fixed-rate reversion profile of the pool. The prepayment rate applied is floored at the high prepayment rate assumptions produced by ResiGlobal:UK and capped at a maximum rate of 40% a year. Unrated Representations and Warranties Provider: LendInvest and MT Finance are unrated by Fitch and have an uncertain ability to make substantial repurchases from the pool in the event of a material breach of representations and warranties. As part of its analysis Fitch placed more emphasis on a materially clean agreed-upon procedures report and prior file review. Deviation From Model-Implied Ratings: The class D and E notes have been assigned ratings one notch below their model-implied ratings. This is due to the transaction's reliance on excess spread, which forms the only source of support for the class E notes and most of the support for the class D notes. The ratings of the class C notes (and all notes junior) are capped at 'A+sf' due to the payment interruption risk caused by the lack of dedicated liquidity support. Final Ratings Above Expected Ratings: The final ratings are two notches higher than the expected ratings for the class B and D notes, one notch higher for the class C notes and three notches higher for the class E notes. This is because the final ratings have been assigned under Fitch's updated UK RMBS Rating Criteria published on 23 May 2025, which has a positive impact for the BTL sector (see Fitch Ratings Published UK RMBS Rating Criteria Exposure Draft 11 April 2025). The notes' final margins are also lower than those provided to Fitch for the expected ratings analysis, resulting in higher available excess spread. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The transaction's performance may be affected by changes in market conditions and the economic environment. Weakening economic performance is strongly correlated to increasing levels of delinquencies and defaults that could reduce the credit enhancement available to the notes. In addition, unexpected declines in recoveries could result in lower net proceeds, which may make certain notes susceptible to potential negative rating action depending on the extent of the decline in recoveries. Fitch conducts sensitivity analyses by stressing a transaction's base-case foreclosure frequency (FF) and RR assumptions. For example, a 15% WAFF increase and a 15% WARR decrease would result in model-implied downgrades of up to one notch for the class D and E notes and two notches for the class B notes. There would no implied impact on the class A, C and X notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing credit enhancement and potential upgrades. Fitch tested an additional rating sensitivity scenario by applying a decrease in the WAFF of 15% and an increase in the WARR of 15%, implying upgrades up to one notch for the class D notes and three notches for the class E notes. The rating of the other notes would be unaffected. The class C and X notes are at their rating caps and the class A notes are rated 'AAAsf', which is the highest level on Fitch's scale and cannot be upgraded. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, and concluded that there were no findings that affected the rating analysis. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. PLANTS365 LIMITED: RSM UK Named as Administrators ------------------------------------------------- Plants365 Limited was placed into administration proceedings in the High Court of Justice, Court Number: CR-2025-002553, and Tyrone Courtman and Deviesh Ramesh Raikundalia of RSM UK Restructuring Advisory LLP were appointed as administrators on June 2, 2025. Plants365 Limited specialized in growing high quality plant material, importers and exporters of top fruit ranges. Its registered office is at 1-4 London Road, Spalding, E11 2TA Its principal trading address is at Washdyke Road, Donington, Spalding PE11 4SL The joint administrators can be reached at: Tyrone Courtman Deviesh Ramesh Raikundalia RSM UK Restructuring Advisory LLP Rivermead House 7 Lewis Court, Grove Park Enderby, Leicester LE19 1SD Correspondence address & contact details of case manager: Helen Robinson RSM Restructuring Advisory LLP Rivermead House 7 Lewis Court, Grove Park Leicester LE19 1SD Email: restructuring.eastmidlands@rsmuk.com For further details contact: The Joint Liquidators Tel: 0116 282 0550 R.E.M. (UK): Leonard Curtis Named as Administrators --------------------------------------------------- R.E.M. (UK) Limited was placed into administration proceedings in the High Court of Justice Business and Property Courts in Manchester, Insolvency & Companies List (ChD), Court Number: CR-2025-MAN-000762, and Mike Dillon and Andrew Knowles of Leonard Curtis were appointed as administrators on June 4, 2025. R.E.M. (UK) is a furniture manufacturer. Its registered office and principal trading address is at Glenfield Mill, Glenfield Road, Nelson, Lancashire BB9 8AW. The joint administrators can be reached at: Mike Dillon Andrew Knowles Leonard Curtis Riverside House Irwell Street Manchester M3 5EN For further details, contact: The Joint Administrators Tel: 0161 831 9999 Email: recovery@leonardcurtis.co.uk Alternative contact: Helen Hales RESIDENTIAL MORTGAGE 33: Fitch Affirms 'Bsf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has downgraded Residential Mortgage Securities 33 PLC's (RMS 33) class C and D notes and affirmed the others. The notes have been removed from Under Criteria Observation (UCO). Entity/Debt Rating Prior ----------- ------ ----- Residential Mortgage Securities 33 PLC Class A XS2835000121 LT AAAsf Affirmed AAAsf Class B XS2835002689 LT AAsf Affirmed AAsf Class C XS2835002846 LT A-sf Downgrade Asf Class D XS2835003224 LT BBB-sf Downgrade BBBsf Class E XS2835003653 LT Bsf Affirmed Bsf Class F XS2835003810 LT CCCsf Affirmed CCCsf XS1 XS2835004115 LT CCCsf Affirmed CCCsf XS2 XS2835004206 LT CCCsf Affirmed CCCsf Transaction Summary The transaction is a securitisation of non-prime owner-occupied (OO) and buy-to-let (BTL) mortgages backed by properties in the UK. The mortgages were originated primarily by Kensington Mortgage Company, London Mortgage Company and Money Partners Limited. The transaction is a refinancing of Residential Mortgage Securities 32 PLC, which was issued in 2020. KEY RATING DRIVERS UK RMBS Rating Criteria Updated: The rating actions reflect Fitch's updated UK RMBS Rating Criteria (see "Fitch Ratings Updates UK RMBS Rating Criteria" dated 23 May 2025). Key changes include updated representative pool weighted average foreclosure frequencies (WAFF), changes to sector selection, revised recovery rate assumptions and changes to cash flow assumptions. The most significant revision was to the non-confirming sector representative 'Bsf' WAFF. Fitch has applied newly introduced borrower-level recovery rate caps to underperforming seasoned OO and BTL collateral. Fitch also now applies dynamic default distributions and high prepayment rate assumptions rather than static assumptions previously. Deteriorating Asset Performance: The proportion and number of loans in arrears for more than three months has increased since closing, due to high interest rates and cost-of-living pressures. Fitch expects total arrears to stabilise but continued roll-off risk to late arrears buckets. The deterioration in asset performance supports the downgrades, and the affirmation of the class E notes below their model-implied rating. Transaction Adjustment: Fitch has applied its non-conforming assumptions, along with an OO transaction adjustment of 1.0x and BTL transaction adjustment of 1.5x. This is because the transaction's historical performance of loans that were three months or more in arrears has broadly been in line with Fitch's non-conforming index. Increasing CE: Credit enhancement (CE) has increased since closing, due to the sequential amortisation of the notes and the transaction's static general reserve fund. CE for the class A notes has risen to 31.8% as of March 2025 from 28.5% at closing. The build-up of CE somewhat offsets the worsening asset performance and supports the affirmations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The transaction's performance may be affected by changes in market conditions and economic environment. Weakening economic performance is strongly correlated to increasing levels of delinquencies and defaults that could reduce CE available to the notes. In addition, unanticipated declines in recoveries could result in lower net proceeds, which may make certain notes susceptible to negative rating action depending on the extent of the decline in recoveries. Fitch found that a 15% increase in the WAFF and a 15% decrease in the weighted average recovery rate (WARR) indicate downgrades of up to two notches for the class A and E notes, and up to four notches for the class B, C and D notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE and potentially upgrades. Fitch tested an additional rating sensitivity scenario by applying a 15% decrease in the WAFF and a 15% increase in the WARR. This would imply upgrades of up to one notch for the class B notes, three notches for the class C notes, four notches for the class D and F notes, and five notches for the class E notes. The class A notes are at their highest achievable rating and cannot be upgraded. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, and concluded that there were no findings that affected the rating analysis. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations RMS 33 has an ESG Relevance Score of '4' for Customer Welfare - Fair Messaging, Privacy & Data Security due to high proportion of interest only legacy OO mortgages, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. RMS 33 has an ESG Relevance Score of '4' for Human Rights, Community Relations, Access & Affordability due to a large proportion of the pool consisting of OO loans advanced with limited affordability checks, which has a negative impact on the credit profile, and is relevant to the rating[s] in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SALUS - EUROPEAN LOAN 33: DBRS Cuts Class C Debt Rating to BB ------------------------------------------------------------- DBRS Ratings Limited took the following credit rating actions on the bonds issued by Salus (European Loan Conduit No. 33) DAC (the Issuer): -- Class A confirmed at A (high) (sf) -- Class B confirmed at BBB (sf) -- Class C downgraded to BB (sf) from BB (high) (sf) -- Class D downgraded to B (high) (sf) from BB (low) (sf) The trends on all credit ratings remain Negative. CREDIT RATING RATIONALE The credit rating actions followed Morningstar DBRS' review of the collateral's performance considering the terms of the restructuring. Despite improved occupancy, the level of concessions for new tenants remains high. The increase of the loan margin post-restructuring contributes further to the deterioration of the Morningstar DBRS debt service metrics, posing further stress to the transaction cash flow. The switch of the priority of payments to sequential, coupled by the absence of deleveraging embedded in the restructuring program, makes the junior classes more exposed to risk of defaulting. The transaction is a securitization of a GBP 363.3 million as of April 2025 (down from GBP 367.5 million at origination) floating-rate senior commercial real estate loan that Morgan Stanley & Co. International Plc (Morgan Stanley) advanced in November 2018 to City Point Holdings I Ltd., which is controlled by Brookfield Asset Management Inc. (the Sponsor). The senior loan is split into two pari passu facilities: Facility A, which totals GBP 349.9 million (down from GBP 354.0 million at origination), and Facility B (the capital expenditure (capex) facility), which totals of GBP 13.3 million (down from GBP 13.5 million). Facility A refinanced the borrower's existing debt, whereas the capex facility financed some refurbishment works that the Sponsor planned at issuance. Additionally, there is a non-securitized mezzanine facility totaling GBP 91.9 million that is contractually and structurally subordinated to the senior facilities. For the purposes of complying with the applicable risk retention requirements, Morgan Stanley also advanced a GBP 18.4 million vertical risk retention (VRR) loan to the Issuer. The senior loan is secured by a single asset known as City point, a 36-storey office tower in the City of London originally built for British Petroleum in 1967. The building offers 704,657 square feet (sf) of office space and more than 60,000 sf of retail space, including several restaurants and one of the largest health clubs in the Square Mile, Nuffield Health. It is one of the largest office buildings in the City of London and underwent a comprehensive reconstruction in 2001. Since then, the owner has maintained the property to a high standard with ongoing refurbishment works and, as such, the building does not show any significant signs of obsolescence. In particular, as part of the Sponsor's business plan to capture the asset's reversionary value potential, during the course of 2020-21, levels five to eight (the podium floors) underwent a comprehensive refurbishment at a cost of around GBP 167 per sf to provide high-quality Grade A offices and an additional floor area and walkway. Landscaped terraces were also included, and the dedicated podium reception was refurbished. Compared to our last annual review conducted in December 2024, portfolio performance metrics have improved, with contracted rental income increasing by 16.1% to GBP 36.5 million in April 2025 from GBP 31.5 million in April 2024. Projected net rental income also increased to GBP 36.3 million from GBP 29.2 million over the same period. As a result, debt yield increased to 9.99% in April 2025 from 7.96% as of April 2024. As of April 2025, the City point asset was 94.3% let to 20 different tenants. The top five tenants account for 75% of the overall gross rental income. Simpson Thacher & Bartlett LLP has leases over 11 floors with total annual contracted rent of GBP 8.6 million, all expiring March 2034. Simmons & Simmons LLP has leases over five floors with total annual contracted rent of GBP 6.9 million, all expiring March 2035 and all with a break option in March 2030. Square point Capital LLP has leases over seven floors and one storage unit with total annual contracted rent of GBP 6.7 million; the leases on the seven floors expire November 2030 and all have a break option in November 2028, while the storage lease expires in November 2026. As of the April 2025 interest payment date, the passing rent stands at GBP 25.1 million, down from last year's GBP 26.9 million due to rent-free periods agreed to during last quarter, and arrears increased to GBP 547,000 from GBP 24,000 last quarter. There are seven tenants with rent-free periods with a total rent-free amount of GBP 11.97 million. Expiration of the rent-free period profile pans out until mid-June 2027 with the majority of this (62.4%) expiring in September 2026. The loan to value ratio (LTV) slightly reduced to 54.22% in January 2025 from 54.85%, due to a partial debt prepayment of GBP 4.2 million in January 2025. LTV is based on a dated valuation of GBP 670 million from Savills Plc (Savills) (March 2023) and it is expected that a new valuation will soon be mandated. Following the restructuring consented by the noteholders via extraordinary resolution with effective date as of April 17, 2025 the financial covenants have been waived. Amendments included amongst others: three-year extension of the loan and notes maturity (until January 2028 and 2032, respectively), notes margin step up with consequent loan margin step up, new hedging, an injection of funds into the cash reserve account by way of a new money loan, and the switch of payments to a sequential basis with Class X being redeemed as of April 2025 note payment date. The original maturity date was January 20, 2022 with two one-year conditional extension options, which were exercised. The maturity date was extended to January 20, 2025, and thus further extended by three years to January 20, 2028. As a result of the loan amendment, the interest rate is the aggregate of compounded daily SONIA plus a margin of 2.69% per annum (p.a.), inclusive of credit adjustment spread (0.11193%), capped at 2.78%. The margin was previously increased to 2.50% effective 20 January 2024 with the increase margin passed onto the Noteholders and the VRR Lender. The loan is fully hedged with an interest rate cap agreement provided by Goldman Sachs International with a strike rate of 4.5%. The cap will terminate on January 23, 2028. The restructuring also includes a further amount, the note exit amount. This accrues on each class of notes at the relevant rate of 0.45% per p.a. and it will be applied following the satisfaction in full of all principal and interest due or overdue in respect of each class of notes and the VRR Loan. Morningstar DBRS does not deem this as a financial obligation and does not rate it. The restructuring comprises a new money loan provided by an affiliate of the Sponsor to BSREP City Point Bidco Limited, the new money borrower, in four tranches with a fixed rate of 15 % p.a.: A1 Tranche represents a committed facility of GBP 8.5 million, which has been drawn on the effective date to pay for fees and expenses in connection with restructuring with the remaining balance deposited into the senior borrower's cash trap account to fund a cash reserve; A2 Tranche is an uncommitted facility of GBP 10 million; A3 Tranche is an uncommitted facility for such additional amounts as may be approved by the original new money lender and the servicer; and A4 Tranche is a committed facility in an amount equal to GBP 3 million whose condition precedent to its utilization is the delivery of Square point's irrevocable notice to exercise the break option in respect of the space leased by it, and in the instance the Square point premises are not under offer to be leased to another tenant(s). The new money loan is subordinated to the senior loan and it is not part of the securitization. Further financial liabilities arising from this debt will not directly or indirectly impact the rated securities, and they are not rated by Morningstar DBRS. Morningstar DBRS notes that the 50% of the payable amount of Brookfield Asset Management fee, 3% of gross rental income p.a., is accrued and shall be deferred until notes are redeemed. Furthermore, a distribution block has been agreed so that payments from the senior obligors to the Sponsor, the mezzanine obligors, and the mezzanine finance parties are prohibited until the senior loan is repaid in full. Morningstar DBRS maintained its stabilized net cash flow assumption at GBP 25.3 million and its cap rate assumption at 6.3%, which translates into an updated Morningstar DBRS value of GBP 401.6 million, equals to 40.0% haircut to Savills' valuation dated March 2023. The liquidity facility outstanding balance stood at GBP 19.7 million as of the April 2025 IPD, down from our previous review in December 2024 as it follows partial prepayment of the notes in January 2025. The liquidity support covers the Class A through Class D notes. According to Morningstar DBRS' analysis, the outstanding amount of the liquidity facility provides coverage of 9.4 months based on the interest rate cap strike rate of 4.5% or 8.8 months based on the 5.0% Sonia cap payable on the notes after the expected note maturity date. The liquidity coverage is compliant with Morningstar DBRS' requirement for "A" category rated transactions. Notes: All figures are in British pound sterling unless otherwise noted. STRATTON MORTGAGE 2024-3: Fitch Lowers Rating on E Notes to 'B+sf' ------------------------------------------------------------------ Fitch Ratings has downgraded Stratton Mortgage Funding 2024-3 PLC's (SMF 2024-3) class E notes and affirmed the others. All tranches have been removed from Under Criteria Observation. Entity/Debt Rating Prior ----------- ------ ----- Stratton Mortgage Funding 2024-3 PLC A XS2819830329 LT AAAsf Affirmed AAAsf B XS2819830592 LT AA-sf Affirmed AA-sf C XS2819830758 LT A-sf Affirmed A-sf D XS2819830832 LT BBB-sf Affirmed BBB-sf E XS2819830915 LT B+sf Downgrade BB-sf F XS2819831053 LT Bsf Affirmed Bsf Transaction Summary SMF 2024-3 is a securitisation of non-conforming owner-occupied (OO) and buy-to-let (BTL) mortgages backed by properties located in the UK. The residential mortgages were originated by GMAC-RFC Limited, GMAC, Amber Homeloans Limited, Edeus Mortgage Creators Limited, Kensington Mortgage Company Limited and Mortgages 1-2-4-5-6-7 Limited. The assets were previously securitised in Stratton Mortgage Funding 2020-1 plc and Stratton Mortgage Funding 2021-3 plc. The pool also includes 15 commercial loans originated by NRAM Limited that were not previously securitised. KEY RATING DRIVERS UK RMBS Rating Criteria Updated: The rating actions reflect Fitch's updated UK RMBS Rating Criteria (see " Fitch Ratings Updates UK RMBS Rating Criteria" dated 23 May 2025). Key changes include updated representative pool weighted average foreclosure frequencies (WAFF), changes to sector selection, revised recovery rate assumptions and changes to cash flow assumptions. The most significant revision was to the non-confirming sector representative 'Bsf' WAFF. Fitch has applied newly introduced borrower-level recovery rate caps to underperforming seasoned collateral. The downgrade of the class E notes is due to an increased loss resulting from the revised recovery rate expectations. Also, Fitch now applies dynamic default distributions and high prepayment rate assumptions rather than the static assumptions applied previously. Transaction Adjustment: Fitch has applied its non-conforming assumptions and an OO transaction adjustment of 1.0x and BTL transaction adjustment of 1.5x. This is because the transaction's historical performance of loans greater than three-months in arrears or more is worse than Fitch's non-conforming index. BTL Recovery Rate Cap: The transaction has reported losses that exceed the losses expected based on the indexed value of the properties in the pool. Fitch has therefore applied borrower-level recovery rate (RR) caps to the BTL loans in the transaction in line with those applied to non-conforming loans. The RR cap is 85% at 'Bsf' and 65% at 'AAAsf'. Arrears Stabilisation: One-month plus and three-month plus arrears were 31.04% and 23.7%, respectively, as of the March 2025 payment date (26.6% and 20.2% based on the April 2024 pool tape at closing). However, the number and amount of loans in arrears have decreased since closing, suggesting a stabilisation in arrears build-up. The risk of migration to late-stage arrears remains a significant rating driver, despite a decline in the number of loans in arrears since closing. Increased CE: Credit enhancement (CE) has built up due to the sequential amortisation of the notes. CE is provided by the notes' subordination to each class. The class A notes also receive CE from a liquidity reserve fund and a general reserve fund and this has increased to 28.8% from 26% at closing. CE is adequate to withstand stresses at the current ratings despite the rising arrears as a percentage of the total pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The transaction's performance may be affected by adverse changes in market conditions and the economic environment. Weakening economic performance is strongly correlated to increasing delinquencies and defaults that could reduce credit enhancement available to the notes. Fitch found that a 15% WAFF increase and a 15% weighted average recovery rate (WARR) decrease would result in downgrades of two notches for the class A notes, four notches for the class B notes and five notches for the class C and D notes. This sensitivity would result in the downgrade of the class E and F notes to the distressed rating category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch tested an additional rating sensitivity scenario by applying a decrease in the WAFF and an increase in the WARR of 15% each. The results indicate upgrades of up to three notches for the class B and C notes, up to four notches for the class D notes, up to five notches for the class E notes, and up to four notches for the class F notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations SMF 2024-3 has an ESG Relevance Score of '4' for Customer Welfare - Fair Messaging, Privacy & Data Security due to the high proportion of interest-only loans in legacy OO mortgages, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. SMF 2024-3 has an ESG Relevance Score of '4' for Human Rights, Community Relations, Access & Affordability due to a large proportion of the pool containing OO loans advanced with limited affordability checks, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. TOTALLY PLC: Ernst & Young Named as Administrators -------------------------------------------------- Totally Plc was placed into administration proceedings in Business and Property Courts of England and Wales, Insolvency & Companies List (ChD), Court Number: CR-2025-003872, and Samuel James Woodward and Timothy Vance of Ernst & Young LLP were appointed as administrators on June 6, 2025. Totally Plc is a healthcare services provider. Its registered office is at C/o Ernst amp; Young LLP, 12 Wellington Place, Leeds, LS1 4AP (Formerly) First Floor – West, Cardinal Square, 10 Nottingham Road, Derby, Derbyshire, DE1 3QT Its principal trading address is at First Floor – West, Cardinal Square, 10 Nottingham Road, Derby, Derbyshire, DE1 3QT The joint administrators can be reached at: Timothy Vance Ernst & Young LLP 12 Wellington Place Leeds, LS1 4AP -- and -- Samuel James Woodward Ernst & Young LLP 2 St Peter's Square Manchester, M2 3EY For further information, contact: The Joint Administrators Email: TotallyGroupAdmin@uk.ey.com Alternative contact: Catriona Lynch VOCARE LIMITED: Ernst & Young Named as Administrators ----------------------------------------------------- Vocare Limited was placed into administration proceedings in Business and Property Courts of England and Wales, Insolvency & Companies List (ChD), Court Number: CR-2025-003875, and Samuel James Woodward and Timothy Vance of Ernst & Young LLP were appointed as administrators on June 6, 2025. Vocare Limited engaged in general medical practice activities. Its registered office is c/o Ernst & Young LLP 12 Wellington Place, Leeds, LS1 4AP (Formerly) Vocare House, Balliol Business Park, Benton Lane, Newcastle upon Tyne, NE12 8EW. Its principal trading address is at Vocare House, Balliol Business Park, Benton Lane, Newcastle upon Tyne, NE12 8EW The joint administrators can be reached at: Timothy Vance Ernst & Young LLP 12 Wellington Place Leeds, LS1 4AP -- and -- Samuel James Woodward Ernst & Young LLP 2 St Peter's Square Manchester, M2 3EY For further information, contact: The Joint Administrators Email: TotallyGroupAdmin@uk.ey.com Alternative contact: Catriona Lynch ********* 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 * * *