250825.mbx

250825.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 25, 2025, Vol. 26, No. 169 Headlines I R E L A N D ARINI EUROPEAN I: Fitch Assigns B-sf Final Rating to Cl. F-R Notes AVOCA CLO XVII: Fitch Assigns B-sf Final Rating to Cl. F-R-R Notes AVOCA CLO XXXVII: Fitch Assigns 'B-sf' Final Rating to Cl. F Notes BILBAO CLO V: Fitch Assigns 'B-sf' Final Rating to Class E Notes BILBAO CLO V: S&P Assigns B- (sf) Rating to Class E Notes CARLYLE EURO 2019-1: Moody's Cuts Rating on EUR10MM E Notes to B3 DRYDEN 74: Fitch Assigns 'B-sf' Final Rating to Class F-R Notes FORTRESS 2025-2: Fitch Assigns 'B-sf' Final Rating to Class F Notes HARVEST CLO XVI: Fitch Affirms 'B+sf' Rating on Class F-R Notes SIGNAL HARMONIC I: Fitch Assigns B-(EXP)sf Rating to Cl. F-R Notes SONA FIOS V: Fitch Assigns 'B-sf' Final Rating to Class F-2 Notes N E T H E R L A N D S OCI NV: S&P Downgrades ICR to 'BB', Outlook Developing S P A I N SABADELL CONSUMO 1: DBRS Confirms BB(low) Rating on Class D Notes U K R A I N E DTEK RENEWABLES: Fitch Affirms 'CC' Foreign & Local-Currency IDRs U N I T E D K I N G D O M CAISTER FINANCE: DBRS Finalizes Bsf Rating on Class F Notes CHESHIRE 2025-1: Fitch Assigns 'BB-sf' Final Rating to Cl. F Notes METRO BANK: Fitch Hikes Long-Term IDR to 'BB-', Outlook Positive SUMMERHOUSE 1: Moody's Assigns Ba3 Rating to GBP50MM C Notes - - - - - ============= I R E L A N D ============= ARINI EUROPEAN I: Fitch Assigns B-sf Final Rating to Cl. F-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned Arini European CLO I DAC reset notes final ratings, as detailed below. Entity/Debt Rating ----------- ------ Arini European CLO I DAC A-R-Loan LT AAAsf New Rating A-R-Notes XS3133391063 LT AAAsf New Rating B-R XS3133391733 LT AAsf New Rating C-R XS3133392111 LT Asf New Rating D-R XS3133392541 LT BBB-sf New Rating E-R XS3133393192 LT BB-sf New Rating F-R XS3133393515 LT B-sf New Rating Transaction Summary Arini European CLO I DAC 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 reset notes have been used to redeem the existing notes (except the subordinated notes) and fund the existing portfolio with a target par of EUR400 million. The portfolio is actively managed by Arini Loan Management US LLC - European Management Series. The CLO has 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 in the 'B' category. The Fitch weighted average rating factor of the current portfolio is 23.7. 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 of the current portfolio is 62.8%. Diversified Portfolio (Positive): The transaction includes two matrices corresponding to an 8.5-year WAL that are effective at closing and two forward matrices corresponding to a 7.5-year WAL. Each matrix set corresponds to two fixed-rate asset limits of 5% and 10%. All matrices are based on a top 10 obligor concentration limit of 20%.The forward matrices can be selected by the manager one year from issue date, provided the collateral principal amount (defaults at Fitch-calculated collateral value) is at least at the reinvestment target par balance, among other conditions. The transaction also has various portfolio concentration limits, including a maximum exposure to the three largest Fitch-defined industries in the portfolio at 40%. These covenants ensure the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction has a reinvestment period of about 4.5 years 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 used for the transaction's Fitch-stressed portfolio analysis was reduced by 12 months. 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' maximum limit, and a WAL covenant that progressively steps down. In Fitch's opinion, 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) across all ratings and a 25% decrease of the recovery rate (RRR) across all ratings of the current portfolio would have no rating impact on the class A, B, and C notes and lead to downgrades of one notch for the class D and E notes and to below 'B-sf' for the class F notes. Based on the identified portfolio, downgrades may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of default and portfolio deterioration. Due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio, the class B, D, E and F notes display rating cushions of two notches and the class C notes of three notches. The class A notes are at the highest achievable rating and therefore have no rating cushion. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded either due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR across all ratings and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio would lead to downgrades of three notches for the class A and D notes, four notches for the class B and C 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 result in upgrades of no more than three notches across the structure, apart from the 'AAAsf' notes, which are at the highest level on Fitch's scale and cannot be upgraded. During the reinvestment period, based on the Fitch-stressed portfolio, upgrades may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the 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 Arini European CLO I DAC 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 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 Arini European CLO I 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. AVOCA CLO XVII: Fitch Assigns B-sf Final Rating to Cl. F-R-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned Avoca CLO XVII DAC's reset notes final ratings, as detailed below. Entity/Debt Rating Prior ----------- ------ ----- Avoca CLO XVII DAC A-R-R 2022 XS2434355876 LT PIFsf Paid In Full AAAsf A-R-R XS3133400666 LT AAAsf New Rating AAA(EXP)sf B-1-R-R XS3133400823 LT AAsf New Rating AA(EXP)sf B-2-R-R XS3133401128 LT AAsf New Rating AA(EXP)sf C-R-R XS3133401474 LT Asf New Rating A(EXP)sf D-R-R XS3133401631 LT BBB-sf New Rating BBB-(EXP)sf E-R-R XS3133401805 LT BB-sf New Rating BB-(EXP)sf F-R-R XS3133402019 LT B-sf New Rating B-(EXP)sf X-R XS3133400401 LT AAAsf New Rating AAA(EXP)sf Transaction Summary Avoca CLO XVII DAC is a securitisation of mainly senior secured obligations (at least 96%) with a component of senior unsecured, mezzanine, second-lien loans and high-yield bonds. Note proceeds have been used to redeem the existing notes except the subordinated notes and fund the portfolio with a target par of EUR500 million. The portfolio is actively managed by KKR Credit Advisors (Ireland). The collateralised loan obligation (CLO) has a 4.5-year reinvestment period and a 7.5 year weighted average life (WAL) test at closing. 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 of the identified portfolio is 24.7. High Recovery Expectations (Positive): At least 96% 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 of the identified portfolio is 60.9 %. Diversified Asset Portfolio (Positive): The transaction has a concentration limit for the 10 largest obligors of 20%. The transaction also includes various concentration limits, including a maximum exposure to the three largest Fitch-defined industries in the portfolio of 40%. These covenants ensure the asset portfolio will not be exposed to excessive concentration. WAL Step-Up Feature (Neutral): The transaction could extend the WAL test by one year from 12 months after closing if the aggregate collateral balance (with defaulted obligations carried at the lower of Fitch and another rating agency's collateral value) is at least at the reinvestment target par amount and all tests are passing. Portfolio Management (Neutral): The transaction has two matrix sets, corresponding to a top 10 obligor concentration limit of 20%, and two fixed-rate asset limits of 5% and 10%. The first matrix set corresponds to a WAL of 7.5 years at closing. The second matrix set has a WAL of seven years and is effective 18 months from closing, subject to the aggregate collateral balance (defaulted obligation at Fitch's collateral value) being at least equal to the reinvestment target par balance The transaction has a reinvestment period of about 4.5 years 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 after the reinvestment period. These include, among others, passing both the coverage tests and the Fitch 'CCC' limit after reinvestment as well as a WAL covenant that progressively steps down before and after the end of the reinvestment period. Fitch believes these conditions would reduce the effective risk horizon of the portfolio during the stress period. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade An increase of the default rate (RDR) at all rating levels in the current portfolio by 25% of the mean RDR and a decrease of the recovery rate (RRR) by 25% at all rating levels would have no impact on the class X-R and A-R-R notes and lead to downgrades of one notch for the class B-1-R-R, B-2-R-R, C-R-R and D-R-R notes, two notches for the class E-R-R notes and to below 'B-sf' for the class F-R-R notes. Downgrades may occur if the build-up of the notes' credit enhancement following amortisation does not compensate for a larger loss expectation than initially assumed due to unexpectedly high levels of defaults and portfolio deterioration. Due to the better metrics and shorter life of the current portfolio than the Fitch-stressed portfolio, the class B-1-R-R,B-2-R-R, D-R-R, E-R-R and F-R-R notes display a rating cushion of two notches and the class C-R-R notes of one notch. Should the cushion between the current 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 stressed portfolio would lead to downgrades of two notches for the class A-R-R notes, four notches for the class B-1-R-R, B-2-R-R and C-R-R notes, three notches for the class D-R-R notes and to below 'B-sf' for the class E-R-R and F-R-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A reduction of the RDR at all rating levels in the stressed portfolio by 25% of the mean RDR and an increase in the RRR by 25% at all rating levels would result in upgrades of up to two notches for all notes, except for the 'AAAsf' rated notes, which are at the highest level on Fitch's scale and cannot be upgraded. During the reinvestment period, based on the Fitch-stressed portfolio, upgrades may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the 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/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 Avoca CLO XVII 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. AVOCA CLO XXXVII: Fitch Assigns 'B-sf' Final Rating to Cl. F Notes ------------------------------------------------------------------ Fitch Ratings has assigned Avoca CLO XXXVII DAC final ratings, as detailed below. Entity/Debt Rating Prior ----------- ------ ----- Avoca CLO XXXVII DAC Class A XS3088651933 LT AAAsf New Rating AAA(EXP)sf Class B XS3088652584 LT AAsf New Rating AA(EXP)sf Class C XS3088652741 LT Asf New Rating A(EXP)sf Class D XS3088653129 LT BBB-sf New Rating BBB-(EXP)sf Class E XS3088653046 LT BB-sf New Rating BB-(EXP)sf Class F XS3088653558 LT B-sf New Rating B-(EXP)sf Subordinated Notes XS3088653715 LT NRsf New Rating NR(EXP)sf Transaction Summary Avoca CLO XXXVII DAC is a securitisation of mainly senior secured obligations (at least 96%) with a component of senior unsecured, mezzanine, second-lien loans and high-yield bonds. Note proceeds have been used to fund a portfolio with a target par of EUR400 million. The portfolio is actively managed by KKR Credit Advisors (Ireland). The CLO has a 4.7-year reinvestment period and a 7.5-year weighted average life (WAL) test covenant at closing. 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 of the identified portfolio is 24.7. High Recovery Expectations (Positive): At least 96% 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 of the identified portfolio is 60.9. Diversified Asset Portfolio (Positive): The transaction includes four Fitch matrices. Two are effective at closing, corresponding to a 7.5-year WAL, two are effective 18 months after closing, corresponding to a 7.0-year WAL with a target par condition. Each matrix set corresponds to two different fixed-rate asset limit at 5% and 12.5%. All matrices are based on a top 10 obligor concentration limit of 20% and a maximum exposure to the three largest Fitch-defined industries of 40%, among others. These covenants ensure the asset portfolio will not be exposed to excessive concentration. WAL Step-Up Feature (Neutral): The transaction could extend the WAL test covenant by approximately one year, from 12 months after closing, if the aggregate collateral balance (with defaulted obligations carried at the lower of Fitch's and another rating agency's collateral value) is at least at the reinvestment target par amount and all the tests are passing. Portfolio Management (Neutral): The transaction will have a reinvestment period of about 4.7 years 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 test covenant. This is to account for the strict reinvestment conditions envisaged after the reinvestment period. These include passing both the coverage tests and the Fitch 'CCC' limit after reinvestment, and a WAL test covenant that progressively steps down before and after the end of the reinvestment period. Fitch believes these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade An increase of the default rate (RDR) at all rating levels in the identified portfolio by 25% of the mean RDR and a decrease of the recovery rate (RRR) by 25% at all rating levels would have no impact on the class A notes and lead to downgrades of one notch for the class B to E notes and to below 'B-sf' for the class F notes. Downgrades may occur if the build-up of the notes' credit enhancement following amortisation does not compensate for a larger loss expectation than initially assumed due to unexpectedly high levels of defaults and portfolio deterioration. Based on the identified portfolio, downgrades may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of default and portfolio deterioration. Due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio, the class B to F notes have rating cushions of two notches. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded either due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR and a 25% decrease of the RRR across all ratings of the stressed portfolio would lead to downgrades of four notches for the class B notes, three notches for the class A, C and E notes, two notches for the class D notes and to below 'B-sf' for the class F notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A reduction of the RDR at all rating levels in the stressed portfolio by 25% of the mean RDR and an increase in the RRR by 25% at all rating levels would result in upgrades of up to three notches for all notes, except for the 'AAAsf' rated notes, which are at the highest level on Fitch's scale and cannot be upgraded. During the reinvestment period, based on the Fitch-stressed portfolio, upgrades may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test covenant, allowing the notes to withstand larger-than-expected losses for the remaining life of the transaction. After the end of the reinvestment period, upgrades may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk presenting entities have ratings or credit opinions from Fitch and/or other Nationally 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 Avoca CLO XXXVII 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. BILBAO CLO V: Fitch Assigns 'B-sf' Final Rating to Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned Bilbao CLO V DAC's notes final ratings, as detailed below. Entity/Debt Rating ----------- ------ Bilbao CLO V DAC A -1 Loan LT AAAsf New Rating A-1 XS3053427269 LT AAAsf New Rating A-2 XS3053427426 LT AAsf New Rating B XS3053427939 LT Asf New Rating C XS3053428150 LT BBB-sf New Rating D XS3053428317 LT BB-sf New Rating E XS3053428580 LT B-sf New Rating Sub Notes XS3053428747 LT NRsf New Rating Transaction Summary Bilbao CLO V DAC is a securitisation of mainly senior secured loans with a component of senior unsecured, mezzanine, and second-lien loans. The note proceeds have been used to fund a portfolio with a target par of EUR400 million. The portfolio is actively managed by Guggenheim Partners Europe Limited. The CLO has a 4.5-year reinvestment period and an 8.66-year weighted average life (WAL). KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors at 'B'/ 'B-'. The Fitch-weighted average rating factor (WARF) of the identified portfolio is 25. 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 of the identified portfolio is 61.4%. Diversified Asset Portfolio (Positive): The transaction includes three sets of Fitch test matrices, one of which is effective at closing with a WAL of 8.66 years, one 12 months after closing with a WAL of 7.66 years and another 18 months after closing with a WAL of 7.16 years. The two sets of forward matrices are conditional on the collateral principal amount (with defaults accounted for at Fitch-calculated collateral value) being at least at the reinvestment target par balance and subject to confirmation by Fitch. The transaction also includes various concentration limits, including a top 10 obligor concentration limit of 20%, fixed-rate obligation limits of 5% and 15%, and a 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 has an approximately 4.66-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 passing both the coverage tests and the Fitch 'CCC' limit after reinvestment and 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. 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 two notches each on the class A2 and B notes, one notch each on the class C and D notes and to below 'B-sf' for the class E notes. Downgrades, which are based on the identified portfolio, may occur if the loss expectation is larger than assumed, due to unexpectedly high levels of default and portfolio deterioration. The class A2, C, D and E notes each have a rating cushion of two notches and the class B notes have a cushion of one notch, due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded either due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio would lead to downgrades of up to four notches for the class B notes, up to three notches each for the class A1, A2 and C 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 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 A2 and B notes and up to three notches each for the class C, D, and E notes. The class A notes are already rated 'AAAsf' 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 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 Bilbao CLO V DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BILBAO CLO V: S&P Assigns B- (sf) Rating to Class E Notes --------------------------------------------------------- S&P Global Ratings assigned its credit ratings to Bilbao CLO V DAC's class A-1 to E European cash flow CLO notes and class A-1 loan. At closing, the issuer also issued subordinated notes. This is a European cash flow CLO transaction, securitizing a portfolio of primarily senior secured leveraged loans and bonds. The transaction is managed by Guggenheim Partners Europe Ltd. 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 and loan 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 2,858.17 Default rate dispersion 407.17 Weighted-average life (years) 4.79 Weighted-average life (years) extended to cover the length of the reinvestment period 4.79 Obligor diversity measure 100.58 Industry diversity measure 16.68 Regional diversity measure 1.26 Transaction key metrics Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 1.23 Actual 'AAA' weighted-average recovery (%) 36.07 Actual weighted-average spread (net of floors; %) 3.86 Actual weighted-average coupon (%) 3.64 Rationale Under the transaction documents, the rated notes and loan will pay quarterly interest unless a frequency switch event occurs. Following this, the notes and loan will permanently switch to semiannual payments. The portfolio's reinvestment period ends approximately 4.7 years after closing, and its non-call period ends 1.7 years after closing. S&P said, "Our ratings reflect our assessment of the collateral portfolio's credit quality, which has a weighted-average rating of 'B'. The portfolio is well-diversified as of the closing date, primarily comprising broadly syndicated speculative-grade senior secured term loans and bonds. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "In our cash flow analysis, we used the EUR400 million target par amount, the actual weighted-average spread (3.86%), the actual weighted-average coupon (3.64%), and the actual weighted-average recovery rates at all rating levels. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "Until the end of the reinvestment period on April 20, 2030, the collateral manager may substitute assets in the portfolio for so long as our CDO Monitor test is maintained or improved in relation to the initial ratings on the notes and loan. 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, as long as the initial ratings are maintained. Following the end of the reinvestment period, certain assets can be substituted as long as they meet the reinvestment criteria. S&P said, "Under our structured finance sovereign risk criteria, the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. "The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our current counterparty criteria. "The transaction's legal structure and framework is bankruptcy remote. The issuer is a special-purpose entity that meets our criteria for bankruptcy remoteness. "Our credit and cash flow analysis indicates that the available credit enhancement for the class A-2 to D notes benefits from break-even default rate (BDR) and scenario default rate cushions that we would typically consider 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 have capped our ratings assigned to the notes. The class A-1 notes and A-1 loan can withstand stresses commensurate with the assigned ratings. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe our ratings are commensurate with the available credit enhancement for the class A-1 to D notes and A-1 loan. "For the class E 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 E notes reflects several key factors, including: -- The class E notes' available credit enhancement, which is in the same range as that of other CLOs S&P has rated and that has recently been issued in Europe. -- The portfolio's average credit quality, which is similar to other recent CLOs. -- S&P's model generated BDR at the 'B-' rating level of 26.35% (for a portfolio with a weighted-average life of 4.79 years), versus if it was to consider a long-term sustainable default rate of 3.1% for 4.79 years, which would result in a target default rate of 14.85%. -- 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 E notes is commensurate with the assigned 'B- (sf)' rating. "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 to D notes and A-1 loan based on four hypothetical scenarios. "As our ratings analysis makes additional considerations before assigning ratings in the 'CCC' category, and we would assign a 'B-' rating if the criteria for assigning a 'CCC' category rating are not met, we have not included the above scenario analysis results for the class E notes." Environmental, social, and governance S&P said, "We regard the exposure to environmental, social, and governance (ESG) credit factors in the transaction as being broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental credit factors is viewed as below average, social credit factors are below average, and governance credit factors are average. For this transaction, the documents prohibit assets from being related to certain activities. Accordingly, since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Ratings Amount Credit Class Rating* (mil. EUR) Interest rate§ enhancement (%) A-1 AAA (sf) 165.30 3mE +1.32% 38.00 A-1 loan AAA (sf) 82.70 3mE +1.32% 38.00 A-2 AA (sf) 40.00 3mE +2.00% 28.00 B A (sf) 28.00 3mE +2.25% 21.00 C BBB- (sf) 28.00 3mE +3.15% 14.00 D BB- (sf) 18.00 3mE +5.80% 9.50 E B- (sf) 12.00 3mE +8.42% 6.50 Sub NR 32.80 N/A N/A *The ratings assigned to the class A-1 and A-2 notes and class A-1 loan address timely interest and ultimate principal payments. The ratings assigned to the class B to E 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. 3mE--Three-month EURIBOR. CARLYLE EURO 2019-1: Moody's Cuts Rating on EUR10MM E Notes to B3 ----------------------------------------------------------------- Moody's Ratings has taken a variety of rating actions on the following notes issued by Carlyle Euro CLO 2019-1 DAC: EUR36,000,000 Class A-2A Senior Secured Floating Rate Notes due 2032, Upgraded to Aaa (sf); previously on Oct 16, 2023 Upgraded to Aa1 (sf) EUR10,000,000 Class A-2B Senior Secured Fixed Rate Notes due 2032, Upgraded to Aaa (sf); previously on Oct 16, 2023 Upgraded to Aa1 (sf) EUR23,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2032, Upgraded to Aa3 (sf); previously on Oct 16, 2023 Upgraded to A1 (sf) EUR27,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2032, Upgraded to Baa2 (sf); previously on Oct 16, 2023 Affirmed Baa3 (sf) EUR10,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2032, Downgraded to B3 (sf); previously on Oct 16, 2023 Affirmed B2 (sf) Moody's have also affirmed the ratings on the following notes: EUR240,000,000 (Current outstanding amount EUR186,749,553) Class A-1 Senior Secured Floating Rate Notes due 2032, Affirmed Aaa (sf); previously on Oct 16, 2023 Affirmed Aaa (sf) EUR22,700,000 Class D Senior Secured Deferrable Floating Rate Notes due 2032, Affirmed Ba2 (sf); previously on Oct 16, 2023 Affirmed Ba2 (sf) Carlyle Euro CLO 2019-1 DAC, issued in March 2019, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured European and US loans. The portfolio is managed by CELF Advisors LLP. The transaction's reinvestment period ended in September 2023. RATINGS RATIONALE The upgrades on the ratings on the Classes A2-A, A2-B, B and C notes are primarily a result of the deleveraging of the Class A1 notes following amortisation of the underlying portfolio since the end of the reinvestment period; the downgrade on the rating on the Class E notes is due to the deterioration in the over-collateralisation ratio since the end of the reinvestment period. The affirmations on the ratings on the Class A1 and class D 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 A1 notes have paid down by approximately EUR53.3 million (38.2%) since the end of the reinvestment period. As a result of the deleveraging, over-collateralisation (OC) has increased for senior tranches of the capital structure. According to the trustee report dated July 2025[1] the Class A, Class B and Class C OC ratios are reported at 142.70%, 129.90% and 117.49% compared to December 2023[2] levels of 136.86%, 126.68% and 116.50%, respectively. At the same time, the over-collateralisation ratios of the class D and Class E notes have deteriorated to 108.76% and 105.31% in July 2025[1] from 109.12% and 106.16% in December 2023[2], respectively as a result of par losses that accumulated over this period. The deleveraging and OC improvements primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. A portion of such prepaid proceeds has 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 uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodologies and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: EUR331,836,468 Defaulted Securities: EUR2,081,697 Diversity Score: 44 Weighted Average Rating Factor (WARF): 3009 Weighted Average Life (WAL): 3.52 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.66% Weighted Average Coupon (WAC): 4.00% Weighted Average Recovery Rate (WARR): 44.06% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, such as the account bank, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Recovery of defaulted assets: Market value fluctuations in trustee-reported defaulted assets and those Moody's assumes have defaulted can result in volatility in the deal's over-collateralisation levels. Further, the timing of recoveries and the manager's decision whether to work out or sell defaulted assets can also result in additional uncertainty. 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. DRYDEN 74: Fitch Assigns 'B-sf' Final Rating to Class F-R Notes --------------------------------------------------------------- Fitch Ratings has assigned Dryden 74 Euro CLO 2020 DAC reset final ratings, as detailed below. Entity/Debt Rating ----------- ------ Dryden 74 Euro CLO 2020 DAC A-R XS3144968255 LT AAAsf New Rating B-1-R XS3144968412 LT AAsf New Rating B-2-R XS3144968685 LT AAsf New Rating C-R XS3144968842 LT Asf New Rating D-R XS3144969063 LT BBB-sf New Rating E-R XS3144969220 LT BB-sf New Rating F-R XS3144969576 LT B-sf New Rating Subordinated Notes XS2124851952 LT NRsf New Rating Transaction Summary Dryden 74 Euro CLO 2020 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. All except the subordinated notes were refinanced, with the remaining proceeds invested in additional assets until the target par amount is reached. The portfolio has a target par of EUR400 million. The portfolio is managed by PGIM Loan Originator Manager Limited and PGIM Limited. The collateralised loan obligation (CLO) has a three-year reinvestment period and a 7.1-year weighted average life test (WAL) test. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors at 'B'/'B-'. The Fitch-calculated weighted average rating factor (WARF) of the identified portfolio is 24.6. 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-calculated weighted average recovery rate (WARR) of the identified portfolio is 62.4%. Diversified Portfolio (Positive): The transaction includes two Fitch matrices that are effective at closing, accompanied by two fixed-rate asset limits of 5% and 12.5%. All matrices are based on a top-10 obligor concentration limit at 23%. The transaction also includes various concentration limits, including a maximum of 40% to the three largest Fitch-defined industries. These covenants ensure the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction has an around three-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) s 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 notes and lead to downgrades of one notch each on the class B-1-R to E-R notes and to below 'B-sf' for the class F-R notes. Downgrades, which are based on the current portfolio, may occur if the loss expectation is larger than assumed, due to unexpectedly high levels of default and portfolio deterioration. The class B-1-R, B-2-R, D-R, E-R and F-R notes each have a rating cushion of two notches and the class C-R notes have a cushion of one notch due to the better metrics and shorter life of the current portfolio than the Fitch-stressed portfolio, Should the cushion between the current portfolio and the Fitch-stressed portfolio be eroded either due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio would lead to downgrades of up to four notches for the notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the RDR and a 25% increase in the RRR across all ratings of the Fitch-stressed portfolio would lead to an upgrade of up to three notches for the rated notes, except for the 'AAAsf' rated notes. 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 life 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 occur 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 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 Dryden 74 Euro CLO 2020 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. FORTRESS 2025-2: Fitch Assigns 'B-sf' Final Rating to Class F Notes ------------------------------------------------------------------- Fitch Ratings has assigned Fortress Credit Europe BSL 2025-2 DAC's notes final ratings, as detailed below. Entity/Debt Rating ----------- ------ Fortress Credit Europe BSL 2025-2 DAC Class A Loan LT AAAsf New Rating Class A Notes XS3114012548 LT AAAsf New Rating Class B XS3114012894 LT AAsf New Rating Class C XS3114013272 LT Asf New Rating Class D XS3114013199 LT BBB-sf New Rating Class E XS3114013439 LT BB-sf New Rating Class F XS3114013942 LT B-sf New Rating Subordinates Notes XS3114013868 LT NRsf New Rating Transaction Summary Fortress Credit Europe BSL 2025-2 DAC is a securitisation of mainly senior secured obligations (at least 90%) with a component of senior unsecured obligations, second-lien loans, mezzanine obligations and high-yield bonds. Note proceeds have been used to fund a portfolio with a target par of EUR400 million. The portfolio is actively managed by FCFE CM LLC. The CLO has a 4.7-year reinvestment period and an 8.5-year weighted average life (WAL) test covenant at closing. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors at 'B'. The Fitch-calculated weighted average rating factor (WARF) of the identified portfolio is 23.4. 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-calculated weighted average recovery rate (WARR) of the identified portfolio is 61.7%. Diversified Portfolio (Positive): The transaction includes two Fitch matrices effective at closing, corresponding to a 8.5-year WAL covenant, and two Fitch forward matrices corresponding to a seven-year WAL. The forward matrices could be elected 1.5 years after closing if the collateral principal amount (default at Fitch-calculated collateral value) is at least at the reinvestment target par balance. Each matrix set corresponds to two different fixed-rate asset limits at 5% and 10%. All matrices are based on a top 10 obligor concentration limit at 20%. The transaction also includes various concentration limits, including a maximum of 40% of the three largest Fitch-defined industries. These covenants ensure that the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction has a 4.7-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 used for transaction's Fitch-stressed portfolio analysis is 12 months less than that specified in the WAL test 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' portfolio profile test, alongside a WAL test covenant that gradually steps down. 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 would have no impact on the class A notes and on the class A loan, and lead to downgrades of one notch each for the class D and E notes, two notches each for the class B and C notes, and to below 'B-sf' for the class F notes. Downgrades, which are based on the identified portfolio, may occur if the loss expectation is larger than assumed, due to unexpectedly high levels of default and portfolio deterioration. The class B and C notes each have a cushion of one notch and the class D, E and F notes each have a cushion of two notches, due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio. 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 four notches each for the class A to D notes and for the class A loan, 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 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, 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 covenant, allowing the notes to withstand larger-than- expected losses for the remaining life of the transaction. Upgrades after the end of the reinvestment period upgrades may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognised Statistical Rating Organisations and/or European Securities and Markets Authority- registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Fortress Credit Europe BSL 2025-2 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. HARVEST CLO XVI: Fitch Affirms 'B+sf' Rating on Class F-R Notes --------------------------------------------------------------- Fitch Ratings has upgraded Harvest CLO XVI DAC's class B-1-RR and B-2-RR notes and affirmed the others. All the notes are on Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Harvest CLO XVI DAC A-RR XS2304366227 LT AAAsf Affirmed AAAsf B-1-RR XS2304367035 LT AAAsf Upgrade AA+sf B-2-RR XS2304367894 LT AAAsf Upgrade AA+sf C-RR XS2304368603 LT A+sf Affirmed A+sf D-RR XS2304373439 LT BBB+sf Affirmed BBB+sf E-R XS1890819011 LT BB+sf Affirmed BB+sf F-R XS1890817585 LT B+sf Affirmed B+sf Transaction Summary Harvest CLO XVI DAC is a cash flow CLO mostly comprising senior secured obligations. The transaction is actively managed by Investcorp Credit Management EU Limited and is outside its reinvestment period. KEY RATING DRIVERS Transaction Deleveraging: Around EUR97 million of the class A-RR notes has been repaid since its last review in September 2024. This deleveraging was caused by the failure of certain tests that prevented the manager from reinvesting, resulting in an increase in credit enhancement for the rated notes. Losses Below Rating Case Assumptions: As of the latest trustee report, the transaction was around 2.4% below par (calculated as the current par difference over the original target par), which is lower than its rating-case assumptions, and had EUR8.5 million defaulted assets in the portfolio. Exposure to assets with a Fitch-derived rating of 'CCC+' and below is 6.7%, according to the latest trustee report, compared with a limit of 7.5%. Low Refinancing Risks: The transaction has manageable near- and medium-term refinancing risk, with no portfolio assets maturing in 2025 and 3.1% maturing in 2026, '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 27 under the latest criteria. About 18.7% of the portfolio is currently on Negative Outlook. High Recovery Expectations: Senior secured obligations comprise 98.8% 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 63.8%. Transaction Outside Reinvestment Period: The transaction exited its reinvestment period in April 2023, and the most senior notes are deleveraging. The transaction is failing the weighted average life (WAL) test, among others, which has prevented the manager from reinvesting since July 2024. As a result, its analysis is based on the current portfolio with assets on Negative Outlook notched down by one level, with the WAL floored at four years, according to its criteria. Deviation from Model-Implied Rating: The class C-RR and the class D-RR notes are rated three notches and one notch below their respective model-implied ratings (MIRs). The deviation reflects insufficient default rate cushion at the MIRs. 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 credit quality and the continuing 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 Harvest CLO XVI DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. SIGNAL HARMONIC I: Fitch Assigns B-(EXP)sf Rating to Cl. F-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned Signal Harmonic CLO I DAC's reset notes expected ratings. The assignment of final ratings is contingent on the receipt of final documents conforming to information already reviewed. Entity/Debt Rating ----------- ------ Signal Harmonic CLO I DAC A-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating F-R LT B-(EXP)sf Expected Rating X-R LT AAA(EXP)sf Expected Rating Transaction Summary Signal Harmonic CLO I DAC is a securitisation of mainly senior secured obligations (at least 90%) with a component of senior unsecured, second-lien loans and high-yield bonds. Note proceeds will be used to redeem the existing notes (except the subordinated notes) and to fund a portfolio with a target par of EUR500 million. The portfolio will be actively managed by Signal Loan Management Limited and the CLO will have a five-year reinvestment period and a nine-year weighted average life (WAL) test at closing. 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 of the identified portfolio is 24.6. 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 62.3%. Diversified Portfolio (Positive): The transaction will include various concentration limits, including a top 10 obligor concentration limit of 20%, a maximum exposure to the three largest Fitch-defined industries of 40% and a maximum exposure to fixed-rate assets of 10%. These covenants ensure that the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction will have a reinvestment period of five years and will include reinvestment criteria similar to those of other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. 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 test and the Fitch 'CCC' bucket limitation test after reinvestment, as well as a WAL covenant that gradually steps down, before and after the end of the reinvestment. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A 25% increase in the mean default rate (RDR) and a 25% decrease in the recovery rate (RRR) across all the ratings of the identified portfolio would lead to downgrades of one notch for the class D-R and E-R notes, two notches for the class B-R and C-R notes and to below 'B-sf' for the class F-R notes. The class X-R and A-R notes would not be affected. 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. Owing to the identified portfolio's better metrics and a shorter life than the Fitch-stressed portfolio, the class B-R, D-R, E-R and F-R notes display rating cushions of two notches and the class C-R notes of one notch. The class X-R and A-R notes have no rating cushion, as they are at the highest achievable rating on Fitch's scale. 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 in the mean RDR and a 25% decrease in the RRR across all the ratings of the Fitch-stressed portfolio would lead to downgrades of up to four notches for the class A-R to D-R notes and to below 'B-sf' for the class E-R and F-R notes. The class X-R notes would not be affected. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction in 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, except for the 'AAAsf' notes, which are at the highest level on Fitch's scale and cannot be upgraded. During the reinvestment period, based on the Fitch-stressed portfolio, upgrades may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the transaction's remaining life. After the end of the reinvestment period, upgrades may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread 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 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 Signal Harmonic CLO I 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. SONA FIOS V: Fitch Assigns 'B-sf' Final Rating to Class F-2 Notes ----------------------------------------------------------------- Fitch Ratings has assigned Sona Fios CLO V DAC final ratings, as detailed below. Entity/Debt Rating ----------- ------ Sona Fios CLO V DAC Class A XS3119453275 LT AAAsf New Rating Class B-1 XS3119453358 LT AAsf New Rating Class B-2 XS3119454323 LT AAsf New Rating Class C XS3119453606 LT Asf New Rating Class D XS3119453788 LT BBB-sf New Rating Class E XS3119454679 LT BB-sf New Rating Class F-1 XS3121130077 LT B+sf New Rating Class F-2 XS3119454083 LT B-sf New Rating Subordinated Notes XS3119454166 LT NRsf New Rating Transaction Summary Sona Fios CLO V DAC is a securitisation of mainly senior secured obligations (at least 90%), with a component of senior unsecured, mezzanine, second-lien loans and high-yield bonds. Note proceeds have been used to purchase a portfolio with a target par of EUR400 million. The portfolio is actively managed by Sona Asset Management (UK) LLP. The CLO has 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+'/'B'. The Fitch weighted average rating factor of the identified portfolio is 23.1. High Recovery Expectations (Positive): At least 90.0% 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 of the identified portfolio is 62.3%. Diversified Portfolio (Positive): The transaction includes various concentration limits in the portfolio, including a top 10 obligor concentration limit at 20% and a maximum exposure to the three-largest Fitch-defined industries at 40%. These covenants ensure the asset portfolio will not be exposed to excessive concentration. 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. The transaction has two Fitch matrix sets, one effective at closing and one a year later. The matrices in each set correspond to a top 10 obligor concentration limit at 20%, a fixed-rate asset limit at 12.5% or 7.5%, and a WAL test of 8.5-year for the closing matrix set and 7.5-year for the forward matrix set. The forward matrix set is subject to the aggregate collateral balance (with defaulted obligations carried at the Fitch collateral value) being at least equal to the target par amount. 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 passing the coverage tests and the Fitch 'CCC' bucket test after reinvestment and a WAL covenant that gradually steps down over time. 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 would have no impact on the class A to D notes and F-1 notes and would lead to a downgrade of one notch for the class E notes, and to below 'B-sf' for the class F-2 notes. Downgrades, which are based on the identified portfolio, may occur if the loss expectation is larger than assumed, due to unexpectedly high levels of defaults and portfolio deterioration. The class B, D, E, and F-2 notes each have a rating cushion of up to two notches, while the class C and F-1 notes have a cushion of three notches, due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio. The class A notes are at the highest achievable rating and, therefore, have no rating cushion. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded, 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 class A and D notes, of four each for the class B and C notes, and to below 'B-sf' for the class E to F-2 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 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 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 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 the relevant groups within Fitch 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, Fitch's assessment of the information relied upon for its analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Sona Fios CLO V DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ===================== N E T H E R L A N D S ===================== OCI NV: S&P Downgrades ICR to 'BB', Outlook Developing ------------------------------------------------------ S&P Global Ratings lowered its long-term issuer credit rating on OCI N.V. to 'BB' from 'BB+' and removed it from CreditWatch with negative implications. S&P withdrew the issue-level rating and recovery rating on the US$600 million bond maturing in March 2033, because it was repaid in full. The developing outlook reflects several uncertain elements related to the company's strategic review, including the future business scope and scale, the final capital structure, and financial policy, which currently remain unclear. S&P said, "We may lower our rating on OCI by one or more notches if the company adopts a more aggressive financial policy resulting in higher leverage, or further deploys capital for shareholder remuneration instead of allocating proceeds from disposals to investing in attractive assets. Conversely, we may raise the rating if the company opts to reinvest the remaining proceeds from completed disposals in profitable attractive assets." This could be further enhanced by equity contributions from shareholders or proceeds from future disposals, provided the company maintains a prudent financial policy. As of June 2025, OCI N.V. successfully completed the sale of its methanol business to Methanex Corp. for a total value of US$1.6 billion. Additionally, the company announced its intention to return up to an extra US$1 billion to shareholders through various distribution channels in 2025 and early 2026. OCI's business scale and scope have significantly decreased due to recent disposals, while projected profitability and cash flow volatility remain high. On June 27, 2025, OCI successfully completed the sale of its methanol business to Methanex Corp., which had previously been announced in September 2024. The transaction was valued at US$1.6 billion on a cash-free debt-free basis comprising approximately US$1.3 billion of cash, and the issuance of 9.9 million common shares of Methanex valued at US$346 million. Following the transaction, OCI became the second-largest shareholder in Methanex, owning 12.9% of total shares. S&P said, "We believe that the recent disposals have significantly reduced the competitiveness, resilience, scale, and diversification of OCI's operations, considering that OCI's continuing operations comprise only the European nitrogen business and corporate entities, which reported negative EBITDA of US$125.5 million in 2024 and negative US$156.2 million in 2023. We project that EBITDA of OCI's nitrogen business will gradually improve in 2025 to about US$100 million following completed planned turnaround, demand recovery, and projected decrease in European gas prices. Nevertheless, we believe that cash flow generation of OCI's European nitrogen business will continue to fluctuate, reflecting its high exposure to volatile natural gas and fertilizer prices." The downgrade also reflects lower proceeds eligible for reinvestment after deploying further capital for shareholder returns. Following the extraordinary dividend payment of US$1 billion during the first half of 2024, the company announced it intends to distribute up to an additional US$1 billion to shareholders over the next 12 months. Specifically, the first tranche of US$700 million is set to be distributed in September 2025, comprising a combination of capital repayment and extraordinary cash dividends. Meanwhile, the company anticipates returning the second tranche of up to US$300 million to shareholders in late 2025 or early 2026 through a mix of extraordinary cash dividends and share buybacks, contingent upon board approval and successful progress on the strategic review, as well as the receipt of deferred cash proceeds. This brings the total cumulative shareholder distributions to US$7.4 billion over the last four years, leaving only about US$500 million-US$1 billion of proceeds (net of bond tendering) that could be allocated to value-accretive investment opportunities. Since the company is yet to provide clarity on its capital allocation future strategy, S&P cannot rule out the possibility of further shareholder remuneration if OCI cannot find attractive investment opportunities. S&P said, "We view OCI's reported net cash position and recent debt repayment as factors supporting the rating. We positively note that the company benefits from a strong balance sheet, with reported a net cash position of US$1.371 billion as of Dec. 31, 2024, and it has fully repaid its US$600 million bond due 2033. Following the bond tendering, OCI has no financial debt outstanding, which we view as a positive factor supporting our rating assessment. Overall, the solid cash balance and overall net cash position are definitive positive credit factors in our analysis. Nevertheless, we acknowledge that the future capital structure and financial policy are highly uncertain, as they will depend on OCI's final business scope, which the company has not yet detailed. Moreover, we have revised our liquidity assessment to adequate from strong, given that OCI, despite having a robust balance sheet characterized by a net cash position and no upcoming debt maturities following the bond repayment, has yet to finalize its capital structure and determine the allocation of the remaining proceeds from disposals. "The developing outlook reflects uncertainties regarding the company's strategic review, including its future business scope, capital structure, and financial policy. OCI's strategic direction remains unclear after the company first announced a strategic review in 2023. We currently do not have visibility on OCI's final business perimeter, also considering that the company continues to evaluate alternatives for its European nitrogen business, and we cannot rule out further divestments as part of its ongoing strategic review. Moreover, the final capital structure and financial policy remain subject to the company's future strategic direction and are uncertain at this stage. Specifically, rating pressure could arise if OCI pursues a more aggressive financial strategy that leads to increased leverage or continues to prioritize shareholder returns over reinvesting proceeds from asset disposals in appealing investments. On the other hand, rating upside could steam from reinvestment of proceeds into attractive assets, potentially bolstered by shareholder equity contribution, provided that the company maintains a cautious financial policy. "The outlook is developing, reflecting our view that we could either lower, raise, or affirm our rating, depending on OCI's future decisions related to its strategic review, including the future business scope and scale, the final capital structure, and financial policy. "We may lower our rating on OCI by one or more notches if the company adopts a more aggressive financial policy resulting in higher leverage, or further deploys capital for shareholder remuneration instead of allocating proceeds from disposals to investment in attractive assets. "We may raise the rating on OCI if the company opts to reinvest the remaining proceeds from completed disposals into profitable attractive assets. This could be further enhanced by equity contributions from shareholders or proceeds from future disposals, provided the company maintains a prudent financial policy." ========= S P A I N ========= SABADELL CONSUMO 1: DBRS Confirms BB(low) Rating on Class D Notes ----------------------------------------------------------------- DBRS Ratings GmbH (Morningstar DBRS) confirmed its credit ratings on the notes issued by Sabadell Consumo 1 Fondo de Titulizacion (the Issuer), as follows: -- Class A Notes at AA (low) (sf) -- Class B Notes at A (sf) -- Class C Notes at BBB (sf) -- Class D Notes at BB (low) (sf) The credit rating on the Class A Notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date in March 2031. The credit ratings on the Class B, Class C, and Class D Notes address the ultimate payment of interest and principal 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: -- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the June 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 static securitisation of Spanish consumer loan receivables originated and serviced by Banco Sabadell, S.A., which closed in September 2019 with an original portfolio balance of EUR 1,000.0 million. PORTFOLIO PERFORMANCE As of the June 2025 payment date, loans that were 30 to 60 days delinquent and 60 to 90 days delinquent represented 0.8% and 0.4% of the outstanding portfolio balance, respectively, while loans more than 90 days delinquent amounted to 0.6%. Gross cumulative defaults amounted to 4.5% of the aggregate original portfolio balance, 22.5% of which has been recovered to date. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions to 5.0% and 77.0% respectively, based on transaction observed performance. CREDIT ENHANCEMENT The subordination of the respective junior obligations provides credit enhancement to the rated notes. As of the June 2025 payment date, credit enhancement to the Class A Notes was 12.5%; credit enhancement to the Class B Notes was 9.0%; credit enhancement to the Class C Notes was 5.5%; and credit enhancement to the Class D Notes was 3.0%. The credit enhancement levels have remained unchanged since the Morningstar DBRS initial credit ratings because of the pro rata amortisation of the rated notes. The transaction benefits from an amortising cash reserve, available to cover senior expenses, interest payments on the Class A Notes and, unless deferred, interest payments on the Class B Notes. The reserve has a target balance equal to 0.55% of the outstanding Class A and Class B Notes balance, subject to a floor of EUR 1.25 million. As of the June 2025 payment date, the reserve was at its floor level of EUR 1.25 million. Societe Generale, S.A. (SocGen) acts as the account bank for the transaction. Based on Morningstar DBRS' private credit rating on SocGen, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the rated notes, as described in Morningstar DBRS' "Legal and Criteria for European Structured Finance Transactions" methodology. Deutsche Bank AG, London (DB London) acts as the interest cap provider for the transaction. Morningstar DBRS' private credit rating on DB London is consistent with the First Rating Threshold as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. Notes: All figures are in euros unless otherwise noted. ============= U K R A I N E ============= DTEK RENEWABLES: Fitch Affirms 'CC' Foreign & Local-Currency IDRs ----------------------------------------------------------------- Fitch Ratings has affirmed DTEK Renewables B.V.'s (DTEK RES) Long-Term Foreign- and Local-Currency Issuer Default Ratings (IDR) at 'CC'. Fitch has also affirmed DTEK Renewables Finance B.V.'s senior unsecured rating at 'CC' with a Recovery Rating of 'RR4'. The ratings reflect the high risk of damage or disruption at DTEK RES's facilities due to the ongoing war in Ukraine, as well as risks to debt service and refinancing due to capital control restrictions imposed by the National Bank of Ukraine (NBU). Key Rating Drivers Protracted War: The ongoing conflict means DTEK RES's operational and financial performance remains conditional on the war's developments and its related impact on the energy market in Ukraine, including the financial and liquidity position of main energy market participants. In addition, DTEK RES's liquidity is constrained by limitations under the NBU FX transfer moratorium on capital repayments of bonds issued abroad. Moratorium In Place: The NBU relaxed the moratorium on cross-border foreign-currency payments in 2024 under certain conditions. Companies are now allowed to purchase foreign currencies and send cash abroad by means of dividends to service coupon payment of bonds issued abroad, but principal repayments are still not permitted. The company has so far not been granted an exception to the FX transfer moratorium for any capital repayments. Sufficient Cash for Coupon Payments: DTEK RES has sufficient cash, held in Ukraine and abroad, for the next four bond coupon payments of about EUR14 million each in November 2025, May 2026, November 2026 and May 2027. There is limited visibility on whether the NBU will allow the repayment of the company's bonds in November 2027 with funds that are subject to exchange controls, or whether the company will be able to arrange refinancing. Temporary Rise in Leverage: Its rating case forecasts funds from operations (FFO) net leverage temporarily increasing to 10.8x in 2025, from 5.5x in 2024 and 5.4x in 2023, driven by a large capex plan. Once the projects are fully operational, Fitch expects FFO net leverage to decline to 4.5x in 2027. Improved Settlements from Guaranteed Buyer: As of 19 August 2025, the level of settlements from Guaranteed Buyer State Enterprise (Guaranteed Buyer SE) for electricity supplied for January -July 2025 was 92%, as was the level of settlements for electricity supplied in 2024. In 2024 DTEK RES also received EUR44 million (UAH1,904 million), including VAT, in accumulated trade debt repayment, resulting in strong working capital inflows. Fitch projects the settlements from Guaranteed Buyer SE - which offtakes about 70% of electricity generated by DTEK RES - to average at 85% of the amounts due. Settlements remain conditional on the overall situation in the Ukrainian energy market. Improving Cash Flow: Tiligulska Wind Electric Plant, a subsidiary of DTEK RES, switched to the market premium (FiP) mechanism in April 2024 and continues to sell its energy output (about 30% of DTEK RES's total output) on the day-ahead market. Under the FiP, receivables are settled within a few days while Guaranteed Buyer SE covers the difference between the day-ahead market price and the feed-in-tariff. This continues to support DTEK RES's cash flow. Rising EBITDA: DTEK RES's EBITDA was EUR95 million in 2024, above its forecast of EUR83 million. Fitch has revised up its EBITDA projections for 2025-2027 to reflect the commissioning of the battery energy storage (BESS) and Tiligulska Wind Power Plant II projects. Fitch forecasts an improvement in EBITDA to about EUR140 million in 2026 and about EUR190 million in 2027 once Tiligulska II is fully operational. Investment in BESS: DTEK RES is constructing a 200MW EUR140 million BESS project after winning 140MW under NPC Ukrenergo's auction for automatic frequency restoration reserve services (aFRR). The project is financed by equity and EUR67 million (UAH2,950 million) of debt from Ukrainian banks. The aFRR five-year contract with Ukrenergo at EUR25-28 per MWh will secure revenue for 70% of output, supporting Fitch-projected annual EBITDA of about EUR30 million. Expansion of Tiligulska Plant: In December 2024 DTEK RES began the construction of the EUR450 million second stage of the Tiligulska Wind Power Plant of 384MW. The project is financed by EUR370 million of debt, including loans from Danske Bank, fully guaranteed by the Export and Investment Fund of Denmark. Financing is secured on project assets, with no guarantee from DTEK RES. The expansion will be fully commissioned by end- 2026. Fitch expects the project to generate almost EUR90 million of EBITDA annually. Project Finance Debt: DTEK RES has been paying interest on its project finance debt but has not made any principal repayments. In July 2025 DTEK RES settled all overdue liabilities and another scheduled payment to the supplier under the equipment supply agreement for the Nikopolska power plant. As of end-2024, there was EUR81 million of debt under the agreement and the company had sufficient cash to make these repayments. However, the original NBU restriction remains in force and continues to limit payments under the equipment supply agreement. Complex Group Structure: DTEK RES is part of a larger group, DTEK GROUP B.V., which is a private energy corporation in Ukraine ultimately owned by System Capital Management (SCM). Fitch rates DTEK RES on a standalone basis under Parent and Subsidiary Linkage Rating Criteria Fitch assesses that SCM has overall weak incentives to support it. Peer Analysis DTEK RES's affiliated companies, DTEK Energy B.V. and DTEK DTEK OIL & GAS PRODUCTION B.V. (both rated CC), share tight liquidity and high operational risks. Key Assumptions Fitch's Key Assumptions within Its Rating Case for the Issuer: - Fitch assumes that DTEK RES will continue to operate the plants it currently controls, with installed capacity of 561MW, including its solar plants and Tiligulska I. Total electricity production averaging 1,010 GWh annually, generating on average EUR78 million annually of EBITDA in 2025-2027 - BESS project to be operational from October 2025, generating on average EUR30 million of EBITDA annually in 2026-2027 - Gradual construction of Tiligulska II from 2026, with planned full commissioning by the end of the year, generating almost EUR90 million of EBITDA annually from 2027 - Collection of receivables from Guaranteed Buyer SE at 85% of the amounts due and 100% collection of receivables of Tiligulska I and receivables under the BESS and Tiligulska II projects - Total capex of EUR475 million over 2025-2027 for the development of the BESS project and Tiligulska II, with the majority of it incurred in 2025 Recovery Analysis Key Recovery Rating Assumptions The recovery analysis assumes that DTEK RES would be a going concern (GC) in bankruptcy and that the company would be reorganised rather than liquidated. Its recovery analysis assumes that creditor recoveries will be derived from the guarantors' group only, which comprises DTEK RES and certain subsidiaries, but excludes the operating solar plant Nikopol. Its GC EBITDA estimate reflects its view of a sustainable, post-reorganisation EBITDA level on which Fitch bases the valuation of the company in a distressed scenario. Its estimate of DTEK RES's GC EBITDA, at about EUR45 million, factors in the GC EBITDA of subsidiaries - Orlivska Wind Farm, Pokrovska Solar Farm and Tryfonivska Solar Farm and Tiligulska Wind Electric Plant. Fitch applies a recovery multiple of 3x. Its estimates of creditor claims include EUR14 million of secured bank loans and EUR281 million of unsecured green bonds. After deducting 10% for administrative claims, this generates a ranked recovery in the 'RR4' band, leading to a 'CC' instrument rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The rating would be downgraded on signs that a default-like process had begun (for example, a formal launch of another debt exchange proposal involving a material reduction in terms to avoid a traditional payment default). Non-payment of coupon or debt obligations or steps towards further debt restructuring would result in a downgrade. The IDR would be downgraded to 'D' if DTEK RES entered into bankruptcy filings, administration, receivership, liquidation or other formal winding-up procedures, or ceased business. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade De-escalation of the conflict with reducing operating risks and relaxed FX and cross border payment controls with improved liquidity and reduced refinancing risks will lead to an upgrade. Liquidity and Debt Structure At end-2024 DTEK RES had EUR580 million of outstanding debt, including EUR281 million of green bonds and EUR108 million of bank debt at subsidiaries within the guarantor group, i.e. Orlivska and Tiligulska. This compares with EUR99 million of cash and cash equivalents, with the majority placed within the guarantor group. Debt maturities for 2025 are EUR81 million under the original debt documentation. This includes scheduled debt maturities and overdue amounts, of which EUR64 million is related to assets located on temporarily occupied territories, for which DTEK RES has not made any principal repayments. No capital repayments are expected under the guarantor group, also taking into account that debt to Orlivska was extended until August 2026. At end-2024, DTEK RES had EUR276 million of available committed credit facilities designated for Tiligulska II, of which about EUR131 million was drawn in 1H25. This is against Fitch-expected negative free cash flow of about EUR450 million in 2025, driven by Tiligulska II and the BESS project. By August 2025 DTEK RES finalised EUR67 million (UAH 2,950 million) loans from local banks for the BESS project. Issuer Profile DTEK RES is the owner of wind and solar power generation assets in Ukraine with a 1,064MW capacity. 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 ----------- ------ -------- ----- DTEK Renewables Finance B.V. senior unsecured LT CC Affirmed RR4 CC DTEK Renewables B.V. LT IDR CC Affirmed CC LC LT IDR CC Affirmed CC =========================== U N I T E D K I N G D O M =========================== CAISTER FINANCE: DBRS Finalizes Bsf Rating on Class F Notes ----------------------------------------------------------- DBRS Ratings Limited (Morningstar DBRS) finalised provisional credit ratings for the following classes of debt issued by Caister Finance DAC (the Issuer): -- Class A1 Notes at AAA (sf) -- Class A2 Notes at AAA (sf) -- Class A Loan at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class B Loan at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class C Loan at A (low) (sf) -- Class D Notes at BBB (low) (sf) -- Class D Loan at BBB (low) (sf) -- Class E Notes at BB (sf) -- Class F Notes at B (sf) The trends on all credit ratings are Stable. CREDIT RATING RATIONALE The Issuer is the partial securitisation of a GBP 2,855.9 million senior loan, which is split pari assu across facility A1, facility A2, and a capital expenditures (capex) facility, and a GBP 81.2 million subordinated Class R loan. Proceeds of the securitsation, together with the nonsecuritised loans, is being used to refinance the acquisition of a portfolio of 39 holiday parks majority owned by funds managed by Blackstone Inc. (Blackstone) and operated by Haven Leisure Limited (Haven), the largest holiday park operator in the UK. The parks offer a total of approximately 39,400 individual pitches, with an average count of just over 1,000 pitches per park. The vast majority (97% of the total count) of the sites are owned on either a freehold or a long-leasehold basis. The issuance of GBP 1,542.8 million of rated notes and rated loans (together, rated debt) under this transaction, together with the Class R notes, represents the securitisation of facility A2 and facility R at closing. The remaining GBP 974.4 million facility A1 loan and GBP 338.7 million capex facility loan commitment, which is expected to be drawn after closing, is being advanced by third-party lenders. The borrower group was created through Blackstone's acquisition of the Haven portfolio in 2021 and is directly controlled by Blackstone. CBRE Group, Inc. (CBRE) valued the portfolio at GBP 3,872.6 million as at 31 December 2024. In F2024, the portfolio generated a total revenue of GBP 931.8 million and EBITDA of GBP 232.7 million after corporate overheads. Site-level EBITDA (before corporate overheads) was GBP 290.6 million, reflecting a site-level EBITDA margin of 31.3%. After corporate overheads, the EBITDA margin was 24.9%. The combined loan-to-value (LTV) of the pari passu-ranking facility A1, facility A2 (securitised), and the capex facility (on a fully drawn basis) stands at 73.7% at closing, and including the risk-retention Class R note, the LTV is 76.0%. Morningstar DBRS understands from the arranger that the purchase consideration for the original acquisition in 2021 was more than GBP 3.0 billion and that Blackstone will continue to have a material equity stake in the underlying portfolio after completing the refinancing contemplated by this transaction. Haven is by far the largest holiday park operator in the UK and has a well-regarded brand, with portfolio-wide occupancy of more than 90% (excluding periods of park closure). The portfolio has demonstrated stable top-line performance, with no year-over-year decline in revenue since 2008 except in 2020. Total revenue almost doubled to GBP 932 million in 2024 from GBP 470 million in 2008. Corporate-level EBITDA over the same period also doubled to GBP 232.7 million in 2024 from GBP 115 million in 2008, with an EBITDA margin consistently hovering around 25% (except in 2020). Between 2022 and 2024, Blackstone undertook a significant accretive capex programme totalling GBP 466 million, which helped to deliver a compounded average growth rate of 10% in revenue (8.6% on a per-pitch basis) from 2022 through 2024. Morningstar DBRS' long-term sustainable net cash flow (NCF) assumption for the portfolio is GBP 255.9 million per annum. The corresponding Morningstar DBRS value of GBP 2,734.7 million, arrived at by applying a 9.25% cap rate and deductions for certain costs, represents a haircut of 29.4% to the CBRE valuation. There are no senior loan default financial covenants prior to a permitted change of control (PCOC); however, cash trap covenants are applicable with respect to LTV and debt yield. The cash trap event occurs if, on any loan interest payment date (15 February, 15 May, 15 August, and 15 November) the LTV ratio is greater than 74.5 % or the debt yield (DY) is less than: (1) 8.3%, up to but excluding the third anniversary of the initial utilisation date, or (2) 9.5%, on or following the third anniversary of the initial utilisation date. Following a PCOC, default LTV covenant is set at a maximum level of LTV as on the PCOC date + 20% and default DY covenant is set at a minimum level of 80% of the DY as on the PCOC date. The initial loan maturity date is in August 2027; however, four annual extension options are available through August 2028, August 2029, August 2030, and August 2031, although the fourth extension is subject to the consent of supermajority lenders, as further described in the offering circular. The senior loans must be fully hedged through August 2027 via an interest rate cap with a strike rate that is no higher than the greater of 4.5% and the strike rate required to achieve a minimum hedged interest coverage ratio (ICR) level of 1.4 times (x). Morningstar DBRS understands that the hedging for facilities A1 and A2 will be put in place after closing, but within 20 business days from the date of first utilisation and will be coterminous with the initial loan maturity in August 2027. With respect to the capex facility, the hedging is expected to be in place on the later of the date falling five business days before the first loan interest payment date and the first loan interest payment date on which at least GBP 10 million is outstanding under the capex facility loan. Failure to do so would trigger a default under the senior facilities agreement and if the hedging is not put in place within a further 21 calendar days from such default, it would enable the facility agent, acting on the instructions of the majority lenders, to accelerate the loans and enforce the transaction security. Should the initial loan maturity date be extended, transaction documents provide for extended hedging arrangements, which will be coterminus with such extended loan maturity date, via either an interest rate cap or an interest rate swap, and to be in place on or before the initial loam term has expired. The extension period hedging is required to be such that the strike rate (in case of an interest rate cap) or the swap rate (in case of an interest rate swap) is no higher than the greater of 4.5% and the rate required to achieve a minimum hedged ICR level of 1.4x. The loan is interest only and carries a floating rate, which is referenced to the sterling overnight index average (Sonia, floored at 0%) plus a margin that, with respect to the securitised facility A2 loan, is calculated as the weighted average (WA) of the aggregate interest amounts payable on the rated debt under each class. Loan margin for both the nonsecuritised facility A1 and capex facility is set at 3.5%. The Class R facility margin is set at 11.5% at closing. The transaction is structured with a five-year tail period where the final maturity date of each class of rated debt shall be automatically extended to ensure that the final rated debt maturity date falls five years after the final loan repayment date. On the closing date, the issuer benefits from a GBP 72.8 million liquidity facility provided by Goldman Sachs Bank USA and Citibank NA London Branch. The liquidity facility covers the interest payments on Class A, Class B, Class C, and Class D rated debt. No liquidity withdrawal can be made to cover shortfalls in funds available to the Issuer to pay any amounts in respect of the interest due on the Class E notes, Class F notes, and Class R notes. The Class E and Class F notes are subject to an Available Funds Cap. Based on a cap strike rate of 4.5%, the liquidity facility will cover 12 months of interest payments for Class A through Class D of the rated debt during the term of the loan; based on a Sonia cap of 5% post loan final repayment date, the liquidity facility will cover 11 months of interest payments for Class A through Class D of the rated debt. To satisfy risk retention requirements, a retaining sponsor entity of the borrower has retained a residual interest consisting of no less than 5% of the nominal and fair market value of the overall capital structure by subscribing to the unrated and junior-ranking GBP 81.2 million Class R Notes. Class R has no enforcement rights. Morningstar DBRS' credit ratings on the Issuer address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the rated debt's interest at the applicable interest rate and the related debt's principal balance. Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. For example, credit ratings on the debt listed above do not address payments of the Sonia excess amounts, exit payment amounts, and pro rata default interest. Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS Environmental (E) Factors Climate and Weather Risks is a relevant Environmental factor. Beachfront locations make up 87% of the portfolio, which makes them vulnerable to physical risks associated with climate change trends and events. For example, extreme weather events and rising sea levels, if materialised, could result in operational disruptions, remediation costs, and/or negative collateral value implications. From Phase I environmental reports, Morningstar DBRS understands that most sites are within low-probability flood zone 1. However, there are six assets that are exposed to fluvial or tidal flooding risk. Flood risk management plans are in place for these parks. Additionally, Morningstar DBRS notes that the facility agreement requires each obligor to maintain insurance against loss or damage caused by natural disasters such as fire, storm, flood, earthquake, subsidence, and lightning, as well as insurance against business interruption for a period of not less than two years. The coastal erosion risk report identified one property (Far Grange) to have a high erosion risk, with a potential impact on up to 40 pitches by 2055 (nine pitches at risk of being affected in the next five years). However, this represents a small portion of the 804 pitches this property comprises and of the 39,412 pitches the portfolio comprises. Subsequently, Morningstar DBRS concluded the Environmental risk to be relevant but not significant. There were no Social or Governance factors that had a significant or relevant effect on the credit analysis. Notes: All figures are in British pound sterling unless otherwise noted. CHESHIRE 2025-1: Fitch Assigns 'BB-sf' Final Rating to Cl. F Notes ------------------------------------------------------------------ Fitch Ratings has assigned Cheshire 2025-1 PLC final ratings, as listed below. Entity/Debt Rating Prior ----------- ------ ----- Cheshire 2025-1 PLC A XS3140971576 LT AAAsf New Rating AAA(EXP)sf B XS3140988463 LT AAsf New Rating AA(EXP)sf C XS3141004179 LT A-sf New Rating A-(EXP)sf D XS3141017585 LT BBBsf New Rating BBB(EXP)sf E XS3141022239 LT BBsf New Rating BB(EXP)sf F XS3141022312 LT BB-sf New Rating BB-(EXP)sf X XS3141023633 LT CCCsf New Rating CCC(EXP)sf Transaction Summary The transaction is a securitisation of UK non-conforming (UKN) owner-occupied (OO; 74.1%) and buy-to-let (BTL; 25.9%) mortgages originated in the UK by various legacy non-conforming lenders. The assets were previously securitised in the Formentera PLC (56.8%) and Cheshire 2020-1 PLC (43.2%) transactions. The former was rated by Fitch. Barclays Bank PLC is the transaction sponsor and Pepper (UK) Limited and Topaz Finance Limited act as legal title holders and servicers for the two sub-pools, respectively. KEY RATING DRIVERS Seasoned Non-Conforming Loans: The portfolio is highly seasoned (18.1 years) with 95.7% (by current balance) originated between 2006-2008. The pool has a high weighted average (WA) original loan-to-value (LTV) of 89.6% but has benefited from a degree of borrower deleveraging, with a WA current LTV of 82.4%, and a significant amount of indexation leading to a WA indexed current LTV of 52.4%. This leads to an overall WA sustainable LTV of 58.7%. The pool is typical for pre-global financial crisis UKN transactions rated by Fitch, with pre-2014 OO origination and high proportions of self-certified and interest-only loans as well as a significant proportion of the pool currently in arrears for longer than one month (24.1%). Fitch therefore applied the UKN and BTL assumptions set out in the UK RMBS Rating Criteria. Standard Transaction Adjustment, Missing Data Adjustments: The performance of the pool since June 2020 has been in line with its UKN Index but underperformed its BTL Index. It has also largely performed in line with other Fitch-rated UKN/BTL transactions This would ordinarily lead Fitch to apply a transaction adjustment of 1.0x to the OO portion and 1.5 to the BTL portion respectively. However, there are several fields with incomplete or missing data in the pool tape, particularly for adverse credit. This data would be less determinative of future performance than recent and historical performance data for such a seasoned pool but it is data typically provided for UKN pools rated by Fitch. This data, along with other missing fields, led us to apply a further 1.2x foreclosure frequency (FF) adjustment to the entire pool. Pay Rate Analysis: Borrower pay rates since June 2020 have averaged 100.6% reflecting over-payments. When capping pay rates at 100% (monthly payments due only), to strip out overpayments, it decreases to 88%. Furthermore, pay rates for borrowers in late-stage arrears (greater than three months) average around half of the monthly payment due over the last five years, while borrowers in arrears for more than 12 months have averaged under a third. Fitch redefines loans in arrears more than 12 months as defaulted from day one under its UK RMBS Rating Criteria. Limited Representations & Warranties Framework: The loan warranties provided by the seller are limited because it was not the originator of the assets. The seller provides warranty indemnity cover for two years from close for any breaches of the loan warranties. In its analysis Fitch placed more emphasis on the following aspects: the lack of breaches in past transactions containing these assets; the agreed upon procedures report (AUP) completed at the close of each original transaction; the AUP provided for this transaction in line with that on other non-conforming transactions; and the seasoning of the assets making it any material representation & warranties breaches unlikely. 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 the credit enhancement available to the notes. Fitch conducts sensitivity analyses by stressing the transaction's FF and recovery rate (RR) assumptions and examining the rating implications on all classes of notes. A 15% increase in the WAFF and a 15% decrease in the WARR indicate downgrades of up to three notches for the class A, C, D and notes, four notches for the class B and E notes, and several notches for the class F notes. The class X notes already have a distressed rating. 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 consideration of potential upgrades. Fitch tested an additional rating sensitivity scenario by applying a decrease in the FF of 15% and an increase in the RR of 15%. The impact on the notes could be upgrades of up to two notches for the class B notes, four notches for the class C, D and E notes and five notches for the class F notes. There is no impact on the class X notes. The class A notes are at the highest rating 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 The pool tape contained incomplete or missing data for employment type, income verification and adverse credit. Fitch applied an FF adjustment of 1.2x to the pool. Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. Overall, and together with the assumptions referred to above, Fitch's assessment of the asset pool information relied upon for Fitch's rating analysis according to its applicable rating methodologies indicates that it is reliable. Date of Relevant Committee 07 August 2025 ESG Considerations Cheshire 2025-1 PLC has an ESG Relevance Score of '4' for Customer Welfare - Fair Messaging, Privacy & Data Security due to the high proportion of interest-only loans in legacy OO mortgages, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Cheshire 2025-1 PLC has an ESG Relevance Score of '4' for Human Rights, Community Relations, Access & Affordability due to a large proportion of the pool containing OO loans advanced with limited affordability checks, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. METRO BANK: Fitch Hikes Long-Term IDR to 'BB-', Outlook Positive ---------------------------------------------------------------- Fitch Ratings has upgraded Metro Bank Holdings Plc's (MBH) Long-Term Issuer Default Rating (IDR) to 'BB-' from 'B+' and Metro Bank PLC's Long-Term IDR to 'BB' from 'BB-'. The Outlook on MBH is Positive and the Outlook on Metro Bank is Evolving. Fitch has also upgraded MBH's and Metro Bank's Viability Ratings (VRs) to 'bb-' from 'b+'. The upgrades reflect MBH's strategic progress in strengthening its business model and financial performance, as reflected by its return to operating profitability in 1H25. The upgrade also reflects MBH's resultant improved flexibility, including no longer being required to raise costly minimum requirement for own funds and eligible liabilities (MREL) debt. Its Positive Outlook reflects upgrade potential, contingent on continued strategic execution, particularly business growth that supports profitability. Metro Bank's Long-Term IDR is one notch above MBH's given the existing large buffer of qualifying junior debt (QJD; MREL debt) that provides protection to Metro Bank's senior creditors. The Evolving Outlook on Metro Bank reflects the potential for either negative rating action if Fitch expects the buffer of QJD debt to fall sustainably below 10% of risk-weighted assets (RWAs), or positive action if Fitch expects the QJD buffer to remain significant and MBH is upgraded. Key Rating Drivers Strategy Execution: MBH has made material progress in implementing its transformation strategy since end-2023, with profitability supported by asset rotation towards higher yielding assets, a lower cost base, and falling funding costs. MBH's and Metro Bank's VRs are one notch below their implied VRs because Fitch's assessment of their business profile has a high influence on the VRs. This reflects execution risk as the bank aims to grow in its targeted businesses and a limited record of structural profitability. Improved Flexibility: MBH expects to no longer be subject to the MREL regime following the Bank of England's announcements last month increasing the size thresholds for 'bail-in' institutions. MBH has therefore announced it no longer expects to have to raise MREL debt and will review whether to maintain its existing outstanding debt. Fitch believes MBH's return to operating profitability, combined with not having to raise MREL debt, will improve the group's strategic flexibility and its capacity to grow. Opco's Long-Term IDR Uplift: Metro Bank's Long-Term IDR is one notch above MBH's as the former's senior creditors benefit from the protection provided by MREL-eligible instruments that are raised by MBH and down-streamed to Metro Bank in a subordinated manner. Higher-Risk Lending: MBH is growing lending in its targeted segments, including in higher-yielding commercial and specialist mortgages, while running off lower-yielding consumer, government-backed and prime owner-occupied mortgage loans. Fitch views these targeted segments as higher-risk. MBH's risk controls are reasonable although the transformation strategy gives rise to execution and operational risks. Higher Structural Impairments: MBH's impaired loans ratio rose to 5.4% at end-1H25 (end-1H24: 3.8%), due primarily to the sale of a well performing mortgage portfolio. High loan growth may reduce the impaired loans ratio in the short term, but Fitch expects the impaired loans ratio to remain above 5% by end-2026 as loans season. The change in mix of loans towards higher-risk lending means Fitch expects loan impairment charges to structurally increase. Improving Structural Profitability: MBH's operating profit at 1.2% of RWAs in 1H25 (1H24: -0.9%) reflects growth in higher-margin lending, lower cost of deposits and a reduced cost base. Fitch calculated operating profit was modest in nominal terms at GBP37.8 million in 1H25 but reflects the turnaround from years of losses. Earnings will also benefit from maturing low-yielding treasury assets being replaced by assets with higher rates. Fitch forecasts operating profitability to improve above 1.5% of RWAs due to business growth in higher-yielding loans and the lack of further MREL issuance, although this is subject to material execution risk. Moderate Capital Buffers: MBH's common Tier 1 (CET1) ratio of 12.8% at end-1H25 provides a moderate buffer over its 9.7% minimum CET1 requirements, and Fitch expects it to be supported by improving profitability despite RWAs growth. In March, the bank issued GBP250 million additional Tier 1 (AT1) capital, which supports its Tier 1 ratio. MBH's UK leverage ratio of 7.9% at end-1H25 compares reasonably with UK peers. Deposit Base Optimisation: MBH is reducing its deposit base (8% reduction in 1H25) to improve funding costs, following a high-cost deposit campaign in 4Q23-1Q24. Its gross loans/deposit ratio (end-1H25: 66.5%) will increase over the medium term with loan growth but remain low compared with peers. MBH has been able to access wholesale funding but at a high cost. Metro Bank's liquidity is strong, following portfolio sales, and its liquidity coverage ratio was 427% at end-1H25. No Double Leverage: MBH's VR is equalised with Metro Bank's, reflecting the absence of holding company double leverage and prudent liquidity management, which reduces the risk of cash flow mismatches. Rating Sensitivities Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The VRs are primarily sensitive to MBH's business profile. The VRs would come under pressure and MBH's Outlook could be revised to Stable, if strategic execution does not lead to a sustainable improvement in the bank's structural earnings and profitability (e.g. operating profit/RWAs is sustainably below 0.5%), or if there is a significant loosening in risk appetite that leads to material asset quality weakening. Metro Bank's Long-Term IDR would be downgraded to the level of its VR if Fitch expected the QJD buffer to fall consistently below 10%. This could happen, for example, if MBH repurchased the qualifying outstanding securities or if RWAs grew more than expected. Fitch could downgrade MBH's IDRs and VR by one notch if it expected double leverage at the holding company to increase materially over 120% for a sustained period, without significant risk mitigants in place. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch would upgrade MBH's Long-Term IDR on evidence of successful business growth. This would be manifested in Metro Bank's structural operating profitability rising sustainably above 1.5% of RWAs and its impaired loans ratio remaining below 6%, while risk appetite and capital buffers do not significantly loosen. An upgrade of Metro Bank's Long-Term IDR would be contingent on the QJD buffer remaining materially above 10% of RWAs. OTHER DEBT AND ISSUER RATINGS: KEY RATING DRIVERS MBH's and Metro Bank's Short-Term IDRs of 'B' are the only option corresponding to their Long-Term IDRs. MBH's senior unsecured bond's long-term rating is in line with its Long-Term IDR. Its subordinated Tier 2 bond is rated two notches below its VR, in line with the baseline notching in its Bank Rating Criteria. MBH's AT1 notes are rated three notches below its VR, reflecting two notches for loss severity, given the notes' deep subordination, and one notch for incremental non-performance risk, given their full discretionary, non-cumulative coupons. Fitch has applied three notches from MBH's VR, instead of the baseline four notches, due to the anchor rating being at the 'BB-' threshold under the agency's criteria. MBH's Government Support Rating (GSR) of 'no support' reflects Fitch's view that senior creditors cannot rely on extraordinary support from the UK authorities in the event that it becomes non-viable. This is due to UK legislation and regulations that provide a framework requiring senior creditors to participate in losses after a failure, and to the bank's low systemic importance. OTHER DEBT AND ISSUER RATINGS: RATING SENSITIVITIES MBH's senior unsecured debt rating is mainly sensitive to changes in its Long-Term IDR. The debt rating could also be notched below the Long-Term IDR if its loss-severity expectations increase. MBH's Tier 2 debt rating is mainly sensitive to changes in its VR. MBH's AT1 debt rating is mainly sensitive to changes in its VR. However, the AT1 debt rating would be notched off four times down from MBH's VR if its VR was upgraded to 'bb' or above, in line with the baseline notching under Fitch's Bank Criteria. An upgrade of the GSR would be contingent on a positive change in the UK's propensity to support its banks and a significant increase in MBH's systemic importance. While not impossible, this is highly unlikely, in Fitch's view. VR ADJUSTMENTS Metro Bank's and MBH's VRs are below their implied VRs due to the following adjustment reason: business profile (negative). The business profile score of 'bb-' is below the 'bbb' implied category score due to the following adjustment reasons: business model (negative), strategy and execution (negative). The asset quality score of 'bb+' is below the 'bbb' implied category score due to the following adjustment reason: underwriting standards and growth (negative). The earnings & profitability score of 'bb-' is above the 'b & below' implied category score due to the following adjustment reason: historical and future metrics (positive). The capitalisation & leverage score of 'bb-' is below the 'a' implied category score due to the following adjustment reason: internal capital generation and growth (negative). The funding & liquidity score of 'bb' is below the 'a' implied category score due to the following adjustment reasons: non-deposit funding (negative). ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. Entity/Debt Rating Prior ----------- ------ ----- Metro Bank Holdings Plc LT IDR BB- Upgrade B+ ST IDR B Affirmed B Viability bb- Upgrade b+ Government Support ns Affirmed ns Subordinated LT B- Upgrade CCC+ senior unsecured LT BB- Upgrade B+ subordinated LT B Upgrade B- Metro Bank PLC LT IDR BB Upgrade BB- ST IDR B Affirmed B Viability bb- Upgrade b+ Government Support ns Affirmed ns SUMMERHOUSE 1: Moody's Assigns Ba3 Rating to GBP50MM C Notes ------------------------------------------------------------ Moody's Ratings has assigned definitive ratings to Notes issued by Summerhouse 1 plc: GBP148.15M Class A1 Fixed Rate Asset Backed Notes due October 2091, Definitive Rating Assigned Aa3 (sf) GBP43.955M Class A2 Fixed Rate Asset Backed Notes due October 2091, Definitive Rating Assigned A2 (sf) GBP38.517M Class A3 Fixed Rate Asset Backed Notes due October 2091, Definitive Rating Assigned Baa1 (sf) GBP120M Class B Fixed Rate Asset Backed Notes due October 2091, Definitive Rating Assigned Baa3 (sf) GBP50M Class C Fixed Rate Asset Backed Notes due October 2091, Definitive Rating Assigned Ba3 (sf) Moody's have not assigned a rating to the subordinated GBP11M Class Z VFN Fixed Rate Asset Backed Notes due October 2091. RATINGS RATIONALE The Notes are backed by a static pool of UK residential reverse mortgage loans originated by More 2 Life Ltd. The beneficial interests in the loans have been purchased and subsequently sold to Summerhouse 1 plc RMBS by Slatewood Financing LP (a wholly owned subsidiary undertaking of Universities Superannuation Scheme Limited), who is the transaction's seller and risk retention holder. The loans will be serviced by More 2 Life Ltd. The portfolio of assets amount to approximately GBP355.4 million as of April 30, 2025 pool cutoff date. No interest or principal payments are required during the lifetime of the loans. Instead, interest amounts accrue on the loans until the lender is fully repaid in a single bullet, typically from the sale proceeds of the properties. Borrowers may elect to prepay at any time, but the loans are not required to be repaid until the earlier of the death of borrowers or the borrowers entering into long-term care. The transaction structure includes senior Class A1, A2 and A3 Notes, mezzanine B Notes, and a subordinated Class C Notes. The Class A1, A2 and A3 Notes are each subject to their own prescribed payment schedule and will be repaid in full (including all interest) if their respective payment schedules are met. The Classes A1, A2 and A3 Notes benefit from subordination of the more junior notes, as well as from a liquidity reserve fund sized at GBP10.0 million at closing. The Class B and Class C Notes are not subject to a schedule, and are repaid via the sequential waterfall on a pass-through basis from closing. Missed Class A scheduled payments trigger an MA breach event, and moves the transaction to the post-MA breach event priority of payments. If a level 1 MA breach event has occurred, and there has been an amount outstanding on the Class A1 missed payment ledger on 8 or more consecutive interest payment dates, a Class A1 accelerated amortisation event is triggered, and the Class A1 noteholders are able to initiate enforcement via the trustee. The ratings are primarily based on the credit quality of the portfolio, the structural features of the transaction and its legal integrity. According to Moody's, the transaction benefits from various credit strengths such a granular portfolio with no significant concentrations and a moderate indexed LTV (loan-to-value) of 42.8%. The reserve fund will be initially funded to the sum of GBP10.0 million, accounting for approximately 2.8% of the day 1 outstanding pool balance, and sufficient to cover all scheduled payments to the Class A1, Class A2 and Class A3 Notes including senior fees for 18 months once scheduled payments begin. Moody's also notes that the transaction features some credit weaknesses. These include the transaction structure complexity and the irregular timing of assets cash flows alongside fixed scheduled payments to the Class A Notes. The transaction is exposed to payment disruption risk given the unrated servicer and the lack of back-up servicer. In mitigation Five Sigma Finance Limited will act as back-up servicer facilitator and U.S. Bank Global Corporate Trust Limited will be the cash manager. Another relative weakness are the seller's representations and warranties. The seller, via More 2 Life Ltd., provides representations and warranties that are time and quantum limited. Given that the timing of the repayment of UK equity release mortgage loans is highly uncertain and can be outstanding for many years without any borrower interaction, this is considered a weakness. The heightened governance risk and exposure to servicing disruption risk has constrained the notes' maximum achievable rating to Aa3. Various structural features have been included in the transaction in addition to the liquidity reserve fund to protect the Class A noteholders, including the initiation of a reserve fund linked to the house price index (HPI), and another linked to the speed of the pool's redemption. There is also a tail-end reserve fund, activated following the full repayment of the Class B Notes, if either the HPI or redemption levels breach prescribed triggers. The other classes benefit from subordination of more junior classes of Notes, but do not benefit from other sources of liquidity other than cashflows from the securitised portfolio. This reverse mortgage transaction is exposed to social risks related to demographic and social trends. In particular, mortality rates are a key rating driver of this asset class, as are trends related to the timing of when borrowers move to long-term care facilities (morbidity events). The transaction is also exposed to governance risk related to transaction's complexity, oversight by independent third parties of complicated transaction computations, and key transaction parties' capabilities being weaker compared to a typical RMBS transaction. The oversight and investor protection framework is overall considered to have a limited impact on the current rating, with greater potential for future negative impact over time. The principal methodology used in these ratings was "Reverse Mortgage Securitizations" published in May 2024. The analysis undertaken by Moody's at the initial assignment of ratings for RMBS securities may focus on aspects that become less relevant or typically remain unchanged during the surveillance stage. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: Factors that may cause an upgrade of the ratings of the notes include significantly better than expected performance of the pool together with an increase in credit enhancement of the notes. Factors that would lead to a downgrade of the ratings include: (i) increased counterparty risk; (ii) materially higher prepayment or materially lower mortality rates; (iii) economic conditions being worse than forecast resulting in lower property values; and (iv) unforeseen legal challenges or regulatory changes. ********* 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 * * *