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250819.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, August 18, 2025, Vol. 26, No. 164 Headlines G E R M A N Y GHD VERWALTUNG: S&P Affirms 'CCC+' Long-Term ICR, Outlook Stable I R E L A N D BLUEMOUNTAIN EUR 2016-1: Moody's Ups Rating on F-R Notes to Ba1 CVC CORDATUS V: S&P Assigns B- (sf) Rating to Class F-R Notes MADISON PARK XV: S&P Assigns B- (sf) Rating to Class F-R-R Notes NEUBERGER BERMAN 7: S&P Assigns B- (sf) Rating to Class F Notes L U X E M B O U R G EURASIAN RESOURCES: Moody's Cuts CFR to B2, Outlook Now Stable OHI GROUP: Moody's Confirms 'B2' CFR, Outlook Negative S P A I N BBVA CONSUMO 12: Moody's Hikes Rating on EUR150MM B Notes from Ba3 PYMES SANTANDER 15: Moody's Affirms Ca Rating on EUR150MM C Notes U N I T E D K I N G D O M SATUS 2024-1: Moody's Puts 'B1' C. E Notes on Review for Downgrade - - - - - ============= G E R M A N Y ============= GHD VERWALTUNG: S&P Affirms 'CCC+' Long-Term ICR, Outlook Stable ---------------------------------------------------------------- S&P Global Ratings affirmed its 'CCC+' long-term issuer credit rating on Germany-based health care provider GHD Verwaltung GesundHeits GmbH Deutschland (GHD) and the 'CCC+' issue level rating on its senior secured facilities. The stable outlook reflects S&P's expectation that GHD will sustain an EBITDA margin of about 6.5%-7.0% in the next 12 months, with neutral free operating cashflow generation (FOCF) and stable liquidity. Following the sale of Vitalcare and ForLife in 2024, GHD will focus on the turnaround of its operations in homecare (43% of sales as of Dec. 31, 2024). S&P still sees a high degree of execution risk because we believe the market is competitive and GHD remains exposed to the structural shortage of nursing staff. GHD's amend and extend transaction of its EUR35 million RCF and its EUR285 million TLB alleviates near-term refinancing risk but does not eliminate it. In July 2025, GHD obtained consent from its lenders to extend the maturities of its senior secured facilities by 15 months. Once the long form amend and extend documentation has been signed and becomes effective, the company's senior secured RCF will be reduced to EUR35 million from EUR80 million and mature in May 2027, while the TLB will mature in November 2027. At the same time, GHD will use the EUR82 million net proceeds from the disposals of the business units Vitalcare and ForLife (concluded in 2024) to immediately repay EUR75 million of the TLB and to cover transaction costs. Furthermore, as part of the amend and extend transaction, GHD will tighten its baskets, which are now less issuer friendly. S&P said, "We view the transaction as distressed, but we believe the lenders will receive adequate compensation in connection to the changes in the capital structure. There is no par loss, and the lenders will see a step-up in the interest rates for both the RCF and the TLB. Lenders will also receive a consent fee. We also note the loan currently does not trade at deep discount, and thus we do not see a risk of below-par repurchases. Though GHD may not face a credit or payment crisis within the next 12 months, we view the current capital structure as a temporary solution, with refinancing risk reigniting 12 months from now." S&P said, "We view GHD's capital structure as unsustainable, although we understand further deleveraging might come from the disposal of its wholesale division, Sangro. We expect adjusted leverage to remain elevated at 9.0x-10.0x in 2025, down from 11.2x the company posted in 2024, primarily driven by the reduction in debt quantum. Overall, we think that the level of debt in the capital structure was designed for a larger-scale business, a goal that the company has not been able to achieve due to external operational challenges out of the company's control. We also believe GHD is dependent on favorable business, financing and economic conditions to meets its financial commitments. We understand the company is contemplating further disposals, notably of Sangro (its wholesale division, around 60% of GHD's revenue in 2024), with the intention to use the proceeds to repay debt. We currently do not factor further asset sales into our base case, as the success of the transaction, its timing, and size of potential proceeds remain uncertain. Positively, we note the wholesale division is an attractive asset, with good pricing power and positive cash generation. We anticipate GHD will generate EUR360 million- EUR370 million of revenue from wholesale and EUR30 million- EUR40 million of its adjusted EBITDA in 2025. Additionally, we acknowledge Sangro operates stand alone, with independent IT and finance departments, implying a smoother execution of a potential carve-out. "In our view, challenges in homecare might impair GHD's growth, with profitability expansion contingent on successful cost control measures. Over the past couple of years, GHD has lost some market share, especially in Saxony and Thuringia, and was affected by aggressive poaching of nursing staff by competitors, notably by two firms founded by former GHD employees. In 2024, homecare sales declined by about 11%. We understand the two entities founded by former GHD employees have partially filed for insolvency and note that GHD has been actively working on hiring and attracting talent. However, in our view it takes time to onboard nurses and to re-gain patients. Also, despite the efforts from GHD, the company remains exposed to the structural shortage of nursing staff in Europe. We therefore remain cautious around the developments for the group, especially in a context where wholesale could be disposed of. We anticipate sales for the group will decline by 6.5%-7.0% in 2025, primarily driven by the change in consolidation perimeter following the disposal of Vitalcare and ForLife in 2024. We anticipate GHD will focus on getting access to larger care institutions, with the intent to increase the number of patients in homecare and treat more acute conditions, which are generally better reimbursed. We expect the volumes and mix combination to translate into a moderate 0.5%-1.0% growth in homecare sales in 2025. We also anticipate a 3.5%-4.0% increase in sales for wholesale, supported by the expansion of the product catalogue. We expect S&P Global Ratings-adjusted EBITDA margins to remain at 6.5%-7.0% in 2025, broadly flat versus 2024. This is driven by continued inflationary pressure of wages, somewhat offset by efforts to reduce overhead costs and contain operating expense. In our base case, we also treat about EUR10 million of nonrecurring costs as operating costs and include them in our EBITDA calculation. We expect progressive improvements in profitability over 2026, with S&P Global Rating's adjusted EBITDA margins expanding to 7.5%-8.0%. However, GHD has historically underperformed our base case and is currently focusing on many initiatives. We see a high degree of execution risk. "GHD should be able to fund its day-to-day operations, but the FOCF cushion remains thin. Proforma the amend and extend transaction, GHD can rely on a cash balance of around EUR33 million, and can use at least 40% of its undrawn EUR35 million RCF due May 2027, without triggering a covenant test. We anticipate GHD will generate flat FOCF in 2025 (following the payment of transaction costs), allowing the company to cover its fixed charges for the next 12 months. We anticipate GHD will continue to preserve cash by focusing on working capital management and supported by the company's low capital expenditure (capex) needs (about EUR5 million- EUR10 million in 2025 and reducing to EUR3 million- EUR5 million in 2026). "The stable outlook reflects our expectation that GHD will maintain adjusted EBITDA margins of 6.5%-7.0% in the next 12 months, alongside neutral FOCF and a stable liquidity position. "We could lower our rating on GHD if we think there is a risk the company's liquidity position could deteriorate and become insufficient to cover its cash needs over the next 12 months, translating into a breach of financial covenants or any other issue that could be viewed as a negative credit event. "We could raise the rating if we viewed the company's capital structure as sustainable, implying a decisive deleveraging from the expected very high level of 9.0x-10.0x adjusted leverage. This could occur if the company successfully managed to turnaround its operations in homecare, implying ability to attract and retain personnel and gain access to new patients. Similarly, if the company realizes significant cost savings, allowing it to better address some of its operational challenges and leading to significant margin expansion, we could see lower pressure mechanically taken off the current capital structure. A positive rating action could also depend on GHD maintaining a sound liquidity profile, implying it will be able to self-fund operations and to freely access its EUR35 million RCF." ============= I R E L A N D ============= BLUEMOUNTAIN EUR 2016-1: Moody's Ups Rating on F-R Notes to Ba1 --------------------------------------------------------------- Moody's Ratings has upgraded the ratings on the following notes issued by BlueMountain EUR CLO 2016-1 Designated Activity Company: EUR21,800,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2032, Upgraded to Aaa (sf); previously on Apr 10, 2025 Upgraded to Aa1 (sf) EUR25,000,000 Class E-R Deferrable Junior Floating Rate Notes due 2032, Upgraded to A2 (sf); previously on Apr 10, 2025 Upgraded to Baa2 (sf) EUR11,200,000 Class F-R Deferrable Junior Floating Rate Notes due 2032, Upgraded to Ba1 (sf); previously on Apr 10, 2025 Upgraded to Ba2 (sf) Moody's have also affirmed the ratings on the following notes: EUR50,000,000 (Current outstanding amount EUR34,988,001) Class B-R Senior Secured Floating Rate Notes due 2032, Affirmed Aaa (sf); previously on Apr 10, 2025 Affirmed Aaa (sf) EUR26,400,000 Class C-R Deferrable Mezzanine Floating Rate Notes due 2032, Affirmed Aaa (sf); previously on Apr 10, 2025 Affirmed Aaa (sf) BlueMountain EUR CLO 2016-1 Designated Activity Company, issued in April 2016 and later refinanced in April 2018, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured European loans. The portfolio is managed by Sound Point Capital Management, LP. The transaction's reinvestment period ended in April 2022. RATINGS RATIONALE The rating upgrades on the Class D-R, E-R and F-R notes are primarily a result of the deleveraging of the Class A-R and Class B-R notes following amortisation of the underlying portfolio since the last rating action in April 2025. The affirmations on the ratings on the Class B-R and C-R notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-R notes, with an outstanding balance of EUR51.8 million, have been fully repaid and the Class B-R notes have been paid down by approximately EUR15.0 million (30.0% of original balance) since the last rating action in April 2025. As a result of the deleveraging, over-collateralisation (OC) has increased across the capital structure. According to the trustee report dated July 2025[1] the Class A/B, Class C, Class D, Class E and Class F OC ratios are reported at 265.12%, 187.86%, 151.42%, 123.87% and 114.53% compared to February 2025[2] levels of 206.98%, 164.34%, 140.45%, 120.38% and 113.14%, respectively. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's use in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: EUR143.5m Defaulted Securities: EUR3m Diversity Score: 34 Weighted Average Rating Factor (WARF): 3259 Weighted Average Life (WAL): 2.84 years Weighted Average Spread (WAS): 3.56% Weighted Average Coupon (WAC): 3.74% Weighted Average Recovery Rate (WARR): 44.00% The default probability derives from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporate these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, such as account bank, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assume have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. Moody's analysed defaulted recoveries assuming the lower of the market price or the recovery rate to account for potential volatility in market prices. Recoveries higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. CVC CORDATUS V: S&P Assigns B- (sf) Rating to Class F-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its credit ratings to CVC Cordatus Loan Fund V DAC's class A-R, B-R, C-R, D-R, E-R, and F-R notes. The issuer has unrated subordinated notes outstanding from the existing transaction and, at closing, issued an additional EUR11.00 million of subordinated notes. This transaction is a reset of the already existing transaction. The ratings assigned to the reset notes reflect S&P's assessment of: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which are in line with S&P's counterparty rating framework. Portfolio benchmarks S&P Global Ratings' weighted-average rating factor 2,887.91 Default rate dispersion 500.82 Weighted-average life (years) 4.28 Weighted-average life extended to cover the length of the reinvestment period (years) 5.00 Obligor diversity measure 118.94 Industry diversity measure 21.57 Regional diversity measure 1.17 Transaction key metrics Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 4.14 Target 'AAA' weighted-average recovery (%) 36.00 Target weighted-average spread (%) 3.83 Target weighted-average coupon (%) 3.83 Liquidity facility This transaction has a EUR2.0 million liquidity facility, provided by The Citibank, N.A. London Branch, with a maximum commitment period of one year and an option to extend for a further one additional one-year period. The margin on the facility is 1.10% as we assume the step up in the margin would not occur during the liquidity facility period and drawdowns are limited to the amount of accrued but unpaid interest on collateral debt obligations. The liquidity facility is repaid using interest proceeds in a senior position of the waterfall or repaid directly from the interest account on a business day before the payment date. S&P said, "For our cash flow analysis, we assume that the liquidity facility is fully drawn throughout the two-year period and that the amount is repaid just before the coverage tests breach (the applicable coverage test which is senior to the item of the interest priority of payments that is to receive the payment). We believe that we capture the most stressful scenario, with this one-off interest charge, as we require the CLO to repay the liquidity facility (that has been fully drawn) in the period in which the class E par value test starts breaching." Rating rationale Under the transaction documents, the rated notes pay quarterly interest unless a frequency switch event occurs. Following this, the notes will switch to semiannual payments. The portfolio's reinvestment period will end approximately 5.00 years after closing. S&P said, "The portfolio is well-diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans and senior secured bonds. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "In our cash flow analysis, we used the EUR400 million target par amount, the target weighted-average spread (3.83%), the target weighted-average coupon (3.83%), and the target weighted-average recovery rates calculated in line with our CLO criteria for all rating levels. Unidentified assets made up 6.34% of the target portfolio at closing. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "Under our structured finance sovereign risk criteria, the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. Until the end of the reinvestment period on Aug. 14, 2030, the collateral manager may substitute assets in the portfolio for so long as S&P's CDO Monitor test is maintained or improved in relation to the initial ratings on the notes. This test looks at the total amount of losses that the transaction can sustain as established by the initial cash flows for each rating, and it compares that with the current portfolio's default potential plus par losses to date. As a result, until the end of the reinvestment period, the collateral manager may through trading deteriorate the transaction's current risk profile, if the initial ratings are maintained. The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under S&P's current counterparty criteria. The transaction's legal structure and framework is bankruptcy remote, in line with S&P's legal criteria. S&P said, "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe the rating assigned to the class A-R notes is commensurate with the available credit enhancement. Our credit and cash flow analysis indicates that the available credit enhancement for the class B-R to C-R notes could withstand stresses commensurate with higher rating levels than those we have assigned. However, as the CLO will be in its reinvestment phase starting from closing, during which the transaction's credit risk profile could deteriorate, we have capped our ratings assigned to the notes. "For the class F-R notes, our credit and cash flow analysis indicate that the available credit enhancement could withstand stresses commensurate with a lower rating. However, we have applied our 'CCC' rating criteria, resulting in a 'B- (sf)' rating on this class of notes." The ratings uplift for the class F-R notes reflects several key factors, including: -- The class F-R notes' available credit enhancement, which is in the same range as that of other CLOs we have rated and that have recently been issued in Europe. -- The portfolio's average credit quality, which is similar to other recent CLOs. -- S&P's model generated break-even default rate at the 'B-' rating level of 26.56% (for a portfolio with a weighted-average life of 5.00 years after reinvestment period extension), versus if it was to consider a long-term sustainable default rate of 3.1% for 5.00 years, which would result in a target default rate of 15.50%. -- S&P does not believe that there is a one-in-two chance of this note defaulting. -- S&P does not envision this tranche defaulting in the next 12-18 months. S&P said, "Following this analysis, we consider that the available credit enhancement for the class F-R notes is commensurate with the assigned 'B-(sf)' rating. "Taking the above factors into account and following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe that the assigned ratings are commensurate with the available credit enhancement for all the rated classes of notes. "In addition to our standard analysis, to provide an indication of how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we have also included the sensitivity of the ratings on the class A-R to E-R notes based on four hypothetical scenarios. "As our ratings analysis makes additional considerations before assigning ratings in the 'CCC' category, and we would assign a 'B-' rating if the criteria for assigning a 'CCC' category rating are not met, we have included the above scenario analysis results for the class F-R notes." Environmental, social, and governance S&P said, "We regard the exposure to environmental, social, and governance (ESG) credit factors in the transaction as being broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental credit factors is viewed as below average, social credit factors are below average, and governance credit factors are average. For this transaction, the documents prohibit or limit assets from being related to certain industries. Since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Ratings Amount Credit Class Rating* (mil. EUR) Interest rate enhancement (%) A-R AAA (sf) 240.00 3/6-month EURIBOR + 1.33% 40.00 B-R AA (sf) 50.00 3/6-month EURIBOR + 2.00% 27.50 C-R A (sf) 24.00 3/6-month EURIBOR + 2.25% 21.50 D-R BBB- (sf) 30.00 3/6-month EURIBOR + 3.30% 14.00 E-R BB- (sf) 18.00 3/6-month EURIBOR + 6.00% 9.50 F-R B- (sf) 12.00 3/6-month EURIBOR + 8.69% 6.50 Sub NR 58.80 N/A N/A *The ratings assigned to the class A-R and B-R notes address timely interest and ultimate principal payments. The ratings assigned to the class C-R, D-R, E-R, and F-R notes address ultimate interest and principal payments. The payment frequency switches to semiannual and the index switches to six-month EURIBOR when a frequency switch event occurs. NR--Not rated. N/A--Not applicable. EURIBOR--Euro Interbank Offered Rate. MADISON PARK XV: S&P Assigns B- (sf) Rating to Class F-R-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its credit ratings to Madison Park Euro Funding XV DAC's class A-2-R-R, B-R-R, C-R-R, D-R-R, E-R-R, and F-R-R notes. At the same time, S&P withdrew its ratings on the existing class A-2-R, B-R, C-R, D-R, E-R, and F-R notes, and affirmed our rating on the class A-1-R notes. At closing, the issuer had unrated subordinated notes outstanding from the existing transaction. On Aug. 14, 2025, Madison Park Euro Funding XV refinanced the existing A-2-R, B-R, C-R, D-R, E-R, and F-R notes (originally issued in May 2022) through an optional redemption and issued replacement notes. The replacement notes are largely subject to the same terms and conditions as the tranches that S&P rated in May 2022, except that the replacement notes have a lower spread over the Euro Interbank Offered Rate. The ratings reflect S&P's assessment of: -- The diversified collateral pool, which primarily comprises broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which are in line with S&P's counterparty rating framework. Portfolio benchmarks S&P Global Ratings' weighted-average rating factor 2,925.34 Default rate dispersion 541.42 Weighted-average life (years) 4.45 Obligor diversity measure 142.04 Industry diversity measure 22.09 Regional diversity measure 1.17 Transaction key metrics Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 7.41 Portfolio target par amount (mil. EUR) 400.00 Actual 'AAA' weighted-average recovery (%) 36.35 Actual weighted-average spread (net of floors; %) 3.85 Actual weighted-average coupon 5.52 Rating rationale Under the transaction documents, the rated notes will pay quarterly interest unless a frequency switch event occurs. Following this, the notes will switch to semiannual payments. The portfolio's reinvestment period will end on July 15, 2027. The portfolio is well-diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans and bonds. Therefore, S&P has conducted its credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. S&P said, "In our cash flow analysis, we used the EUR399.88 million adjusted target par collateral principal amount, as the manager had a negative cash balance in the portfolio provided. We also used the actual weighted-average spread (3.85%), actual weighted-average coupon (5.52%), and actual weighted-average recovery rates at each rating level. "We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our current counterparty criteria. "Under our structured finance sovereign risk criteria, we consider that the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. "The transaction's legal structure and framework is bankruptcy remote, in line with our legal criteria. "Our credit and cash flow analysis indicates that the available credit enhancement for the class B-R-R to E-R-R notes could withstand stresses commensurate with higher ratings than those assigned. However, as the CLO is still in its reinvestment phase, during which the transaction's credit risk profile could deteriorate, we capped our assigned ratings on these refinanced notes. "For the class A-1-R and A-2-R-R notes, our credit and cash flow analysis indicate that the available credit enhancement could withstand stresses commensurate with the assigned ratings. "For the class F-R-R notes, our credit and cash flow analysis indicate that the available credit enhancement could withstand stresses commensurate with a lower rating. However, we have applied our 'CCC' rating criteria, resulting in a 'B- (sf)' rating on this class of notes." The ratings uplift for the class F-R notes reflects several key factors, including: -- The class F-R notes' available credit enhancement, which is in the same range as that of other CLOs we have rated and that have recently been issued in Europe. -- The portfolio's average credit quality, which is similar to other recent CLOs. -- S&P's model generated break-even default rate at the 'B-' rating level of 25.70% (for a portfolio with a weighted-average life of 1.9 years), versus if it was to consider a long-term sustainable default rate of 3.1% for 1.9 years, which would result in a target default rate of 5.89%. -- S&P does not believe that there is a one-in-two chance of this tranche defaulting. -- S&P does not envision this tranche defaulting in the next 12-18 months. S&P said, "Following this analysis, we consider that the available credit enhancement for the class F-R-R notes is commensurate with the assigned 'B- (sf)' rating. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe our ratings are commensurate with the available credit enhancement for the class A-1-R to F-R-R notes. "In addition to our standard analysis, to provide an indication of how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we have also included the sensitivity of the ratings on the class A-1-R to E-R-R notes based on four hypothetical scenarios. Environmental, social, and governance S&P said, "We regard the exposure to environmental, social, and governance (ESG) credit factors in the transaction as being broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental credit factors is viewed as below average, social credit factors are below average, and governance credit factors are average. For this transaction, the documents prohibit or limit assets from being related to certain industries. Since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Ratings assigned Replacement Existing Amount notes notes Class Rating* (mil. EUR) interest interest Credit rate§ rate§ enhancement (%) A-2-R-R AAA (sf) 30.00 3mE + 1.18% 3mE + 1.50%‡ 38.00 B-R-R AA (sf) 38.80 3mE + 1.80% 3mE + 2.15% 28.30 C-R-R A (sf) 22.20 3mE + 2.20% 3mE + 3.15% 22.75 D-R-R BBB- (sf) 27.40 3mE + 3.25% 3mE + 4.50% 15.90 E-R-R BB- (sf) 19.70 3mE + 5.30% 3mE + 7.29% 10.98 F-R-R B- (sf) 15.10 3mE + 8.25% 3mE + 9.91% 7.20 Rating affirmed A-1-R AAA (sf) 218.00 3mE + 1.15% 38.00 *The ratings assigned to the class A-1-R, A-2-R-R, and B-R-R notes address timely interest and ultimate principal payments. The ratings assigned to the class C-R-R to F-R-R notes address ultimate interest and principal payments. §The payment frequency switches to semiannual and the index switches to six-month EURIBOR when a frequency switch event occurs. †Refers to the interest rate on the notes that we rated in May 2022. ‡EURIBOR cap of 2.50% - not subject to a cap as part of the refinancing. 3mE--Three-month EURIBOR (Euro Interbank Offered Rate). NEUBERGER BERMAN 7: S&P Assigns B- (sf) Rating to Class F Notes --------------------------------------------------------------- S&P Global Ratings assigned its credit ratings to Neuberger Berman Loan Advisers Euro CLO 7 DAC's class A-1, A-2, B, C, D, E, and F notes. The issuer will also issue unrated subordinated notes. This is a European cash flow CLO transaction, securitizing a pool of primarily syndicated senior secured loans or bonds. The portfolio's reinvestment period ends approximately 4.68 years after closing, and the portfolio's maximum average maturity date is 7.5 years after closing. Under the transaction documents, the rated notes pay quarterly interest unless there is a frequency switch event. Following this, the notes will switch to semiannual payment. S&P said, "We consider that the portfolio is well-diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans and senior secured bonds. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow collateralized debt obligations." Portfolio benchmarks S&P Global Ratings' weighted-average rating factor 2,656.45 Default rate dispersion 504.00 Weighted-average life (years) including reinvestment period 5.12 Obligor diversity measure 140.33 Industry diversity measure 24.16 Regional diversity measure 1.21 Transaction key metrics Total par amount (mil. EUR) 300 Defaulted assets (mil. EUR) 0 Number of performing obligors 162 Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 0.20 'AAA' weighted-average recovery (%) on identified pool 36.97 Actual weighted-average spread (no credit to floors [%]) 3.66 S&P said, "In our cash flow analysis, we modeled the EUR300 million target par amount, the covenanted weighted-average spread of 3.56%, the covenanted weighted-average coupon of 3.50%, and the covenanted weighted-average recovery rate of 35.97% on the AAA level. For all other rating levels, we used the target weighted-average recovery rates. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "Following the application of our structured finance sovereign risk criteria, we consider the transaction's exposure to country risk is limited at the assigned ratings, as the exposure to individual sovereigns does not exceed the diversification thresholds outlined in our criteria. "The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our current counterparty criteria. "The transaction's legal structure is bankruptcy remote, in line with our legal criteria. "The operational risk associated with key transaction parties (such as the collateral manager) that provide an essential service to the issuer is in line with our operational risk criteria. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe that our ratings are commensurate with the available credit enhancement for the class A to F notes. Our credit and cash flow analysis indicates that the available credit enhancement for the class B to E notes is commensurate with higher ratings than those assigned. However, as the CLO will have a reinvestment period, during which the transaction's credit risk profile could deteriorate, we have capped our assigned ratings on these notes. "In addition to our standard analysis, to indicate how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we have also included the sensitivity of the ratings on the class A to E notes in four hypothetical scenarios. "As our ratings analysis makes additional considerations before assigning ratings in the 'CCC' category, and we would assign a 'B-' rating if the criteria for assigning a 'CCC' category rating are not met, we have not included the above scenario analysis results for the class F notes." Environmental, social, and governance S&P said, "We regard the transaction's exposure to environmental, social, and governance (ESG) credit factors as broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental and social credit factors is viewed as below average, while governance credit factors are average. For this transaction, the documents prohibit or limit certain assets from being related to certain activities. Accordingly, since the exclusion of assets from these activities does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Ratings Amount Class Rating* (mil. EUR) Sub (%) Interest rate§ A-1 AAA (sf) 183.00 39.00 Three/six-month EURIBOR plus 1.33% A-2 AAA (sf) 6.00 37.00 Three/six-month EURIBOR plus 1.60% B AA (sf) 30.00 27.00 Three/six-month EURIBOR plus 1.85% C A (sf) 18.00 21.00 Three/six-month EURIBOR plus 2.20% D BBB- (sf) 21.00 14.00 Three/six-month EURIBOR plus 3.00% E BB- (sf) 14.25 9.25 Three/six-month EURIBOR plus 5.50% F B- (sf) 8.25 6.50 Three/six-month EURIBOR plus 7.94% Sub notes† NR 25.725 NA N/A *S&P's ratings address payment of timely interest and ultimate principal on the class A-1, A-2, and B notes and ultimate interest and principal on the rest of the notes. §The payment frequency switches to semiannual and the index switches to six-month EURIBOR when a frequency switch event occurs. †In addition to subordinated notes, the issuer will also issue unrated senior preferred return notes, subordinated preferred return notes, and performance notes on the issue date. The senior preferred return notes are paid senior to the class A notes in the interest priority of payments. EURIBOR--Euro Interbank Offered Rate. NR--Not rated. N/A--Not applicable. =================== L U X E M B O U R G =================== EURASIAN RESOURCES: Moody's Cuts CFR to B2, Outlook Now Stable -------------------------------------------------------------- Moody's Ratings has downgraded Eurasian Resources Group S.a r.l.'s (ERG) corporate family rating to B2 from B1, probability of default rating to B2-PD from B1-PD and Baseline Credit Assessment (BCA) to b3 from b2. Concurrently, Moody's have affirmed the Baa1 backed senior unsecured rating of the bond issued by Kazakhstan Aluminium Smelter JSC (KAS), a 100% subsidiary of ERG. The outlook on ERG has been changed to stable from negative. RATINGS RATIONALE The downgrade of ERG's rating and BCA reflects the continuing weakness in the company's credit metrics, with no clear path for recovery over the next 12-18 months to the levels commensurate with a higher rating, because of the high sensitivity of the metrics to the volatile commodity prices, slow recovery in the sales volumes of iron ore products, and continuing high capital spending. As of year-end 2024, ERG's leverage increased to 6.4x Moody's-adjusted debt/EBITDA from 6.1x a year earlier, and its EBIT interest coverage dropped to 0.5x from 0.8x. This was driven mainly by a debt-related net foreign-exchange loss of $438 million amid the sharp depreciation of domestic currency in late 2024. Moody's estimate that ERG's leverage excluding this loss would be 4.7x, which is still well above Moody's downgrade factor of 4.0x that Moody's had set for the company's previous B1 rating level. Although ERG has made certain progress in restoring its credit metrics, the metrics remain highly sensitive to the volatile prices of ferroalloys, aluminium, iron ore, copper and cobalt, mainly because of the company's persistently high gross debt. Under Moody's baseline commodity price scenario, Moody's expect the company's EBITDA to increase towards $2.0 billion in 2025. This projection assumes an increase in ERG's ferroalloy sales and continuing restoration of its iron ore product sales, which dropped in 2022 after sanctions were imposed on the company's key customers in Russia and have not fully recovered since then. Despite the increase in EBITDA, Moody's expect ERG's leverage to remain above 4.0x, because of the high gross debt which Moody's do not expect to decline significantly over the next 12-18 months, and continuing inflationary pressure on the company's costs in Kazakhstan. Moody's apply its Government-related Issuers methodology for rating ERG, because the Government of Kazakhstan (Baa1 stable) owns a 40% stake in the company. ERG's B2 corporate family rating reflects a combination of its BCA of b3; Kazakhstan's Baa1 foreign-currency rating; the high default dependence between ERG and the government; and the moderate probability of government support in the event of financial distress. ERG's BCA factors in the company's (1) good operational and product diversification, with several operating mines and processing facilities in Kazakhstan and, for copper and cobalt, in the Democratic Republic of the Congo (DRC, B3 stable); (2) vertical integration in the alumina and aluminium, ferroalloys and iron ore concentrate and pellets value chains; (3) competitive costs because of its high-quality mines and efficient processing plants in Kazakhstan, particularly in the core ferroalloys business; (4) solid market position in ferrochrome and cobalt globally, and in iron ore and aluminium in EMEA; (5) high share of exports in total revenue (more than 90%), strong customer base and moderate customer diversification, with 10 largest customers representing 46% of sales in 2024; and (6) track record of successful completion of a large investment project — Metalkol RTR in the DRC — with no major delays and budget overruns. The BCA also takes into account (1) the company's fairly weak credit metrics, with no clear path for significant improvement over the next 12-18 months; (2) the high sensitivity of ERG's credit metrics and liquidity to the volatile commodity prices, mainly because of its high gross debt; (3) its history of high debt-financed expansionary capital spending along with substantial dividend payouts; (4) a difficult operating environment, high business and event risks in the DRC where the company has its copper and cobalt assets; and (5) execution risks related to the company's development projects, which are common for mining companies. The Baa1 rating of the bond issued by KAS is at the same level as the issuer rating of the Development Bank of Kazakhstan (DBK, Baa1 stable) which guarantees the bond on an irrevocable and unconditional basis. This reflects Moody's assessment that the issuance structure and its terms and conditions, along with those of the guarantee, satisfy the criteria outlined in Moody's Guarantees, Letters of Credit and Other Forms of Credit Substitution Methodology. RATING OUTLOOK The stable outlook on ERG reflects Moody's expectation that the company will continue to gradually restore its credit metrics and will maintain adequate liquidity. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Moody's could upgrade ERG's rating if the company reduces its Moody's-adjusted debt/EBITDA to solidly below 4.0x, while maintaining adequate liquidity and continuing to build a track record of prudent liquidity management. Although not currently expected, Moody's could consider an upgrade if Moody's reassess the probability of support from the government in the event of financial distress to a higher level. Moody's could downgrade the ratings if Moody's were to downgrade the company's BCA, which could be a result of the company's Moody's-adjusted debt/EBITDA increasing above 5.0x on a sustained basis, or a deterioration in its liquidity or liquidity management. Although not currently expected, a reassessment of the probability of government support in the event of financial distress to a weaker level would also exert negative pressure on the rating. PRINCIPAL METHODOLOGIES The principal methodologies used in rating Eurasian Resources Group S.a r.l. were Mining published in April 2025. The net effect of any adjustments applied to rating factor scores or scorecard outputs under the primary methodology(ies), if any, was not material to the ratings addressed in this announcement. OHI GROUP: Moody's Confirms 'B2' CFR, Outlook Negative ------------------------------------------------------ Moody's Ratings has confirmed OHI Group S.A. (OHI)'s B2 corporate family rating and the B2 rating of its $400 million Backed Senior Secured Global Notes due 2029. The outlook for the ratings is negative. This concludes the review process initiated on May 29th 2025. RATINGS RATIONALE The confirmation of OHI's B2 ratings follows the publication of fiscal year 2024 financials and reflects the ongoing improvement in the company's operating performance related to the ramp up of new contracts and the company's adequate liquidity profile. OHI's adjusted leverage remained stable in 2024 at 5.2x (reported net debt of 4.3x), compared to 4.9x (reported net debt of 4.1x) in 2023, but Moody's expects the ratio to decline to around 3x-4x in 2025-26 as OHI benefits from contracts with higher MACE rates starting in the second half of 2025. The company's cash position will remain at around EUR60-80 million, sufficient to cover upcoming financial debt maturities, but free cash flow (according to Moody's definition) will remain negative in 2025. Accordingly, OHI will continue to rely on funding for growth capex until the ramp up of new higher priced contracts or implementation of initiatives that reduce total debt and improve liquidity further. OHI's B2 rating is supported by its leading market position (47% market share) in the Brazilian and Guyana (100% market share) offshore helicopter services industry, long-term relationship with customers, and firm backlog of contracts that provides cash flow visibility through 2029. The company offers crew change, cargo transportation, emergency medical rescue services ("EMS"), firefighting, patrol and surveillance, power & utility logistics, and search & rescue ("SAR"). The company had a fleet of 106.5 medium aircraft equivalent ("MACE") at the end of December 2024 and a firm contracted backlog of EUR2.1 billion, and benefits from contractual protections against the risk of early termination by customers and providing the company with a track record of operating profitably through commodity price cycles. The contracts are inflation-protected and/or pegged to the US dollar, which ensures predictability of duration and profitability. The company is benefitting from increasing demand in the offshore energy business in Brazil, Guyana, Suriname and Mozambique while pursuing growth in other synergistic business segments in the onshore, unmanned aerial vehicles ("UAV") and advanced air mobility solutions, and its key customers include international and national oil companies. The rating is also supported by the company's improving credit metrics and adequate liquidity. The rating is constrained by OHI's small size and relatively concentrated operations compared to those of its peers, its exposure to the volatility of the oil and gas industry, its growth strategy and the capital intensity of its business. OHI continues to rely on funding to cover growth capex needs. The company's evolving corporate governance standards, largely encumbered asset base and high funding cost also limits the rating. LIQUIDITY OHI has adequate liquidity, with EUR52 million in cash and EUR40 million in financial debt amortizations until 2027. Moody's expects the company's cash flow from operations to amount to around $120-180 million per year from 2025 onwards, which is sufficient to cover maintenance investment requirements in its fleet, however the company will continue to rely on external funding to fund fleet growth. The company's notes have incurrence covenants setting a maximum net leverage of 4.5x in 2024 and gradually declining to 2.5x from 2028 onwards and will limit dividend payments to $40 million. Moody's expects the company to maintain a disciplined approach to capital allocation, including dividend distributions, as it starts to increase its cash from operations. RATING OUTLOOK The negative rating outlook reflects the company's current high leverage, and the potential for downward rating pressure if OHI's credit metrics does not improve throughout 2026 based on existing contracts. The outlook also incorporates Moody's expectations that OHI will prudently manage capex and dividends to preserve its liquidity profile. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS OHI's rating could be upgraded if the company is able to execute its existing backlog, while continuing to secure contract's renewal and growth, and significantly increase its scale. Quantitatively, the rating could be upgraded if the company maintains debt-to-EBITDA below 3x, increases interest coverage (EBITDA/interest) to above 3x, improves its free cash flow generation and improves its liquidity profile with cash consistently above short term debt maturities. OHI's rating could be downgraded if the company changes its financial policy, such as using significant amounts of debt to accelerate fleet expansion or dividend payments. The failure to maintain a stable cash balance would also trigger a downgrade of the rating. Quantitatively OHI's rating could be downgraded if leverage (measured by debt-to-EBITDA) does not improve toward 4x or if the company's liquidity deteriorates. COMPANY PROFILE Headquartered Luxembourg and founded in Lisbon, Portugal and founded in 2001, OHI is a leading provider of helicopter transportation services to personnel working on offshore installations, onshore installations and urban air mobility in Brazil. The company operates a fleet of 106.5 medium aircraft equivalent (MACE), about 70% of which are leased, and has operations in Brazil, Guyana and Mozambique. In 2024, the company reported net revenues of EUR421 million with a Moody's adjusted EBITDA margin of 32.8%. The principal methodology used in these ratings was Oilfield Services published in January 2023. The net effect of any adjustments applied to rating factor scores or scorecard outputs under the primary methodology(ies), if any, was not material to the ratings addressed in this announcement. ========= S P A I N ========= BBVA CONSUMO 12: Moody's Hikes Rating on EUR150MM B Notes from Ba3 ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings of four Notes in BBVA CONSUMO 11, FT, BBVA CONSUMO 12, FT and BBVA Consumo 13, FT. The rating actions reflect increased levels of credit enhancement for the affected Notes and Moody's assessments of the likelihood of prolonged missed interests in all transactions. For the Class B Notes in BBVA CONSUMO 12, FT, it also reflects better than expected collateral performance. Moody's affirmed the ratings of the Notes that had sufficient credit enhancement to maintain their current ratings. Issuer: BBVA CONSUMO 11, FT EUR2350M Class A Notes, Affirmed Aa1 (sf); previously on Apr 10, 2024 Affirmed Aa1 (sf) EUR150M Class B Notes, Upgraded to Aa2 (sf); previously on Apr 10, 2024 Upgraded to Baa3 (sf) Issuer: BBVA CONSUMO 12, FT EUR2850M Class A Notes, Affirmed Aa1 (sf); previously on Nov 19, 2024 Upgraded to Aa1 (sf) EUR150M Class B Notes, Upgraded to Baa1 (sf); previously on Nov 19, 2024 Upgraded to Ba3 (sf) Issuer: BBVA Consumo 13, FT EUR1900M Class A Notes, Upgraded to Aa2 (sf); previously on Mar 14, 2024 Definitive Rating Assigned Aa3 (sf) EUR100M Class B Notes, Upgraded to Baa3 (sf); previously on Mar 14, 2024 Definitive Rating Assigned Ba2 (sf) Maximum achievable rating is Aa1 (sf) for structured finance transactions in Spain, driven by the corresponding local currency country ceiling of the country. RATINGS RATIONALE The rating action is prompted by increased levels of credit enhancement for the affected Notes and Moody's assessments of the likelihood of prolonged missed interests in all transactions. For the Class B Notes in BBVA CONSUMO 12, FT, it also reflects better than expected collateral performance. Increase in Available Credit Enhancement Sequential amortization led to the increase in the credit enhancement available in these transactions. The credit enhancement for the Class B Notes in BBVA CONSUMO 11, FT increased to 17.02% from 10.00% since last rating action. The reserve fund is at its target and floor level equal to EUR62.5 million. The credit enhancement for the Class B Notes in BBVA CONSUMO 12, FT increased to 10.00% from 7.86% since last rating action. The reserve fund started amortizing with the May 2025 payment date. It is at its target of EUR142.34 million and it will continue to amortize if certain performance triggers are satisfied, down to a floor equal to EUR75 million. The credit enhancement for the Class A and B Notes in BBVA Consumo 13, FT increased to 15.27% from 10.00% and to 7.63% from 5.00%, respectively, since closing. The reserve fund is at its target of EUR100 million and it will start amortizing in three payment dates if certain performance triggers are satisfied, down to a floor equal to EUR50 million. The reserve fund is not available to cover interest on the Class B Notes as long as the Class A Notes is outstanding for all deals. Interest payments for the Class B Notes are dependent on any excess spread left after covering senior expenses, interest on the Class A Notes and defaults. In Moody's analysis, Moody's have reassessed the likelihood of an interest shortfall on the Class B Notes in light of current yield in the transaction and the speed of the expected amortization of the Class A Notes. In particular, for BBVA CONSUMO 11, FT, Moody's took into account that the Class A Notes is likely to be repaid in less than one year from now. While for BBVA CONSUMO 12, FT and BBVA Consumo 13, FT, Moody's considered that the Class A Notes is likely to be outstanding for a while and there is still a substantial probability of intertest deferral for the Class B Notes albeit for less than 18 months. Key Collateral Assumptions As part of the rating action, Moody's reassessed Moody's expected default rate and recovery rate assumptions for the portfolios reflecting the collateral performance to date. The performance of BBVA CONSUMO 11, FT has continued to be stable since last rating action. 90 days plus arrears currently stand at 0.4% of current pool balance showing a stable trend over the past year. Cumulative defaults currently stand at 3.4% of original pool balance slightly up from 2.9% a year earlier. For BBVA CONSUMO 11, FT, the current expected default rate assumption is 4.0% of the current portfolio balance which translates into a default probability assumption on original balance of 4.0%. Moody's increased the assumption for recovery rate to 20% from 15%. The performance of BBVA CONSUMO 12, FT has improved since last rating action. 90 days plus arrears currently stand at 0.3% of current pool balance showing a stable trend over the past year. Cumulative defaults currently stand at 1.95% of original pool balance up, at a lower pace than before, from 0.9% a year earlier. For BBVA CONSUMO 12, FT, the current expected default rate assumption is 4.3% of the current portfolio balance which translates into a default probability assumption on original balance of 4.0%. Moody's increased the assumption for recovery rate to 20% from 15%. The performance of BBVA Consumo 13, FT is slightly worse than Moody's expectations at closing. 90 days plus arrears currently stand at 0.63% of current pool balance. Cumulative defaults currently stand at 2.12% of original pool balance. For BBVA Consumo 13, FT, the current expected default rate assumption is 6.30% of the current portfolio balance which translates into a default probability assumption on original balance of 6.25%. The assumption for recovery rate is 15%. Moody's reassessed Moody's Portfolio Credit Enhancement ("PCE") assumptions for these transactions. PCE reflects the credit enhancement consistent with the highest rating achievable in Spain. As a result, Moody's have maintained the PCE assumptions at 17%, 17% and 19% for BBVA CONSUMO 11, FT, BBVA CONSUMO 12, FT and BBVA Consumo 13, FT, respectively. The principal methodology used in these ratings was "Moody's Approach to Rating Consumer Loan-Backed ABS" published in July 2024. Factors that would lead to an upgrade or downgrade of the ratings: Factors or circumstances that could lead to an upgrade of the ratings include: (1) performance of the underlying collateral that is better than Moody's expected, (2) an increase in available credit enhancement, (3) improvements in the credit quality of the transaction counterparties, and (4) a decrease in sovereign risk. Factors or circumstances that could lead to a downgrade of the ratings include: (1) an increase in sovereign risk, (2) performance of the underlying collateral that is worse than Moody's expected, (3) deterioration in the Notes' available credit enhancement, and (4) deterioration in the credit quality of the transaction counterparties. PYMES SANTANDER 15: Moody's Affirms Ca Rating on EUR150MM C Notes ----------------------------------------------------------------- Moody's Ratings has upgraded the rating of one tranche in FONDO DE TITULIZACION PYMES SANTANDER 15. The rating action reflects the stable collateral performance observed and the further deleveraging of the outstanding senior Notes. Moody's affirmed the rating of the Notes that had sufficient credit enhancement to maintain their current rating. EUR600M Serie B Notes, Upgraded to Baa1 (sf); previously on Feb 28, 2024 Upgraded to Baa3 (sf) EUR150M Serie C Notes, Affirmed Ca (sf); previously on Feb 28, 2024 Affirmed Ca (sf) Maximum achievable rating is Aa1 (sf) for structured finance transactions in Spain, driven by the corresponding local currency country ceiling of the country. RATINGS RATIONALE The rating action is prompted by the stable collateral performance observed and the further deleveraging of the outstanding senior notes. Revision of Key Collateral Assumptions As part of the rating action, Moody's reassessed its expected default rate and recovery rate assumptions for the portfolio reflecting the collateral performance to date. The performance of the transactions has continued to be stable over the last year. 90 days plus arrears currently stand at 0.87% of current pool balance showing a stable trend over the past year. Cumulative defaults currently stand at 1.66% of original pool balance up from 1.46% a year earlier. For FONDO DE TITULIZACION PYMES SANTANDER 15, the current expected default rate is 8.1% of the current portfolio balance and the assumption for the stochastic recovery rate is 37%. Moody's reassessed its SME Stressed Loss assumption for this transaction. SME stressed Loss captures the loss Moody's expect the portfolio to suffer in the event of a severe recession scenario. As a result, Moody's have assessed the SME Stressed Loss assumption at 30.85%. Moody's have incorporated the sensitivity of the ratings to borrower concentrations into the quantitative analysis. In particular, Moody's considered the credit enhancement coverage of large debtors in the transaction as it shows significant exposure to large debtors. Increase in Available Credit Enhancement Sequential amortization led to the increase in the credit enhancement available in this transaction. For instance, the credit enhancement for the most senior tranche affected by the rating action increased to 15.89% from 11.95% since October 2024. Counterparty Exposure The rating action took into consideration the Notes' exposure to relevant counterparties, such as servicer or account bank. The principal methodology used in these ratings was "SME Asset-backed Securitizations" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Factors or circumstances that could lead to an upgrade of the ratings include: (1) performance of the underlying collateral that is better than Moody's expected, (2) an increase in available credit enhancement, (3) improvements in the credit quality of the transaction counterparties, and (4) a decrease in sovereign risk. Factors or circumstances that could lead to a downgrade of the ratings include: (1) an increase in sovereign risk, (2) performance of the underlying collateral that is worse than Moody's expected, (3) deterioration in the Notes' available credit enhancement, and (4) deterioration in the credit quality of the transaction counterparties. =========================== U N I T E D K I N G D O M =========================== SATUS 2024-1: Moody's Puts 'B1' C. E Notes on Review for Downgrade ------------------------------------------------------------------ Moody's Ratings has placed on review for downgrade the ratings of two notes in Satus 2024-1 plc. The rating action reflects the worse than expected collateral performance. Moody's affirmed the ratings of the notes that had sufficient credit enhancement to maintain their current ratings. GBP332.4M Class A Notes, Affirmed Aaa (sf); previously on Apr 30, 2024 Definitive Rating Assigned Aaa (sf) GBP49.1M Class B Notes, Affirmed Aa3 (sf); previously on Apr 30, 2024 Definitive Rating Assigned Aa3 (sf) GBP40.1M Class C Notes, Affirmed Baa3 (sf); previously on Apr 30, 2024 Definitive Rating Assigned Baa3 (sf) GBP13.4M Class D Notes, Ba2 (sf) Placed On Review for Downgrade; previously on Apr 30, 2024 Definitive Rating Assigned Ba2 (sf) GBP11.2M Class E Notes, B1 (sf) Placed On Review for Downgrade; previously on Apr 30, 2024 Definitive Rating Assigned B1 (sf) The transaction is a static cash securitisation of auto receivables extended by Startline Motor Finance Limited ("Startline") to obligors located in the UK. The portfolio consists of hire purchase (HP) and personal contract purchase (PCP) agreements extended to private obligors. Startline also acts as the servicer in the transaction. RATINGS RATIONALE The rating action is prompted by worse than expected collateral performance observed in the collateral portfolio, namely increase in arrears, defaults and losses, which leads to the increase in the default probability (DP) assumption. Moody's review will focus on the detailed analysis of the expected portfolio performance including default and recovery trends, level of excess spread, and loan-by-loan data. Worse than expected collateral performance: The performance of the transaction has continued to deteriorate since closing. Total arrears currently stand at 16.42% of current pool balance showing an increasing trend over the past year. Cumulative defaults currently stand at 7.06% of original pool balance, significantly up from 0.88% a year earlier. The cumulative losses stand at 2.69% of original balance. On the other hand, the deal shows healthy recoveries representing 62% of cumulative defaults and positive annualised gross excess spread of 12.45%. Moody's increased the expected default rate assumption to 13% from 11% as a percentage of current pool balance due to the deteriorating performance. The revised expected default rate assumption corresponds to 14.19% as a percentage of original pool balance. Moody's maintained the fixed recovery rate at 45% and the PCE assumption at 31%. Moody's analysis will focus on understanding these performance trends and, where possible, reviewing additional information including loan by loan data to arrive at the updated portfolio assumptions. The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Factors or circumstances that could lead to an upgrade of the ratings include (1) performance of the underlying collateral that is better than Moody's expected, (2) an increase in available credit enhancement and (3) improvements in the credit quality of the transaction counterparties. Factors or circumstances that could lead to a downgrade of the ratings include (1) an increase in sovereign risk, (2) performance of the underlying collateral that is worse than Moody's expected, (3) deterioration in the notes' available credit enhancement and (4) deterioration in the credit quality of the transaction counterparties. ********* 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 * * *