251104.mbx

251104.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 Tuesday, November 4, 2025, Vol. 26, No. 220 Headlines I R E L A N D ANCHORAGE CAPITAL 2021-4: Fitch Assigns B-sf Rating on F-R Notes ANCHORAGE CAPITAL 2021-4: S&P Assigns B-(sf) Rating on F-R Notes ARAN FUNDING 2025-1: S&P Assigns B-(sf) Rating on F-Dfrd Notes CARLYLE EURO 2022-5: Fitch Assigns B-sf Rating on Cl. E-R-R Notes CARLYLE EURO 2022-5: S&P Assigns B-(sf) Rating on Cl. E-R-R Notes DUTCH MORTGAGE 2025-1: DBRS Finalizes BB Rating on Class X Notes RRE 2: S&P Assigns BB-(sf) Rating on Class D-R Notes I T A L Y GOLDEN BAR 2025-2: Fitch Assigns BB+sf Final Rating on Cl. F Notes L U X E M B O U R G SAMSONITE FINCO: Fitch Rates New EUR350MM Notes 'BB+' SAMSONITE GROUP: Moody's Affirms 'Ba2' CFR, Outlook Remains Stable R U S S I A ORIENT FINANS: S&P Affirms 'B+/B' ICRs & Alters Outlook to Positive TRUSTBANK: S&P Affirms 'B+/B' ICRs on Resilient Performance S P A I N CLAVEL 4: Fitch Assigns 'B-sf' Final Rating on Class F Notes S W E D E N ANTICIMEX GLOBAL: Moody's Rates New Term Loan B3, Outlook Stable HEIMSTADEN AB: S&P Assigns 'B-' ICR, Outlook Remains Negative U N I T E D K I N G D O M AGILITAS IT: Alvarez & Marsal Named as Administrators AVON FINANCE NO. 3: S&P Affirms 'B-(sf)' Rating on Cl. F-Dfrd Notes AVON FINANCE NO. 4: S&P Affirms 'CCC(sf)' Rating on X-Dfrd Notes DOWSON 2025-1: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches DOWSON 2025-1: S&P Assigns Prelim. B-(sf) Rating on X1-Dfrd Notes EALBROOK MORTGAGE 2024-1: DBRS Confirms B(high) Rating on E Notes GLACIER ENERGY: Teneo Financial Named as Administrators HARBOUR NO. 2: DBRS Confirms B(low) Rating on Class X Notes HOPS HILL NO. 5: S&P Affirms 'B+(sf)' Rating on Class E-Dfrd Notes ICW CONSULTANTS: Marshall Peters Named as Administrators MOLOSSUS BTL 2025-1: Fitch Assigns 'B-(EXP)sf' Rating on Cl. F Debt MOLOSSUS BTL 2025-1: S&P Assigns Prelim. BB-(sf) Rating on F Notes SHEFFIELD 3: Begbies Traynor Named as Administrators SHEFFIELD WEDNESDAY: Begbies Traynor Named as Administrators UK LOGISTICS 2025-2: DBRS Finalizes BB Rating on Class E Notes - - - - - ============= I R E L A N D ============= ANCHORAGE CAPITAL 2021-4: Fitch Assigns B-sf Rating on F-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned Anchorage Capital Europe CLO 2021-4 DAC reset notes final ratings. Entity/Debt Rating Prior ----------- ------ ----- Anchorage Capital Europe CLO 2021-4 DAC A-R XS3187706893 LT AAAsf New Rating AAA(EXP)sf B-R XS3187707198 LT AAsf New Rating AA(EXP)sf C-R XS3187707511 LT Asf New Rating A(EXP)sf D-R XS3187707784 LT BBB-sf New Rating BBB-(EXP)sf E-R XS3187707941 LT BB-sf New Rating BB-(EXP)sf F-R XS3187708329 LT B-sf New Rating B-(EXP)sf Subordinated Notes XS2294176651 LT NRsf New Rating NR(EXP)sf Transaction Summary Anchorage Capital Europe CLO 2021-4 DAC is a securitisation of mainly senior secured obligations (at least 90%) with a component of unsecured senior loans, unsecured senior bonds, second-lien loans, first-lien last-out loans, mezzanine obligations and high-yield bonds. Note proceeds have been used to redeem the existing notes (except the subordinated notes) and to fund the existing portfolio with a target par of EUR450million.The portfolio is actively managed by Anchorage CLO ECM, L.L.C. The transaction has a 4.5-year reinvestment period and an 8.5-year weighted average life test (WAL). KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch places the average credit quality of obligors at 'B'. The Fitch-calculated weighted average rating factor of the current portfolio is 24. 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 of the identified portfolio is 60.1%. Diversified Asset Portfolio (Positive): The transaction includes various concentration limits in the portfolio, including a fixed-rate obligation limit of 12.5%, a top 10 obligor concentration limit of 20%, and a maximum exposure to the three-largest Fitch-defined industries in the portfolio of 40%. These covenants ensure that the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction has a 4.5-year reinvestment period, which is governed by reinvestment criteria that are similar to those of other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. The transaction includes three Fitch test matrix sets, each comprising two matrices that correspond to two fixed-rate asset limits of 7.5% and 12.5%. All matrices correspond to a top 10 obligor limit at 20%. One set is effective at closing, corresponding to an 8.5-year WAL test. The manager can switch to the forward matrix set based on a 7.5-year WAL test from one year after closing and to the forward matrix set based on a seven-year WAL test from 18 months after closing. Switching to the forward matrices is subject to the satisfaction of the reinvestment target par condition with defaults accounted at collateral value. Cash Flow Modelling (Neutral): The WAL used for the Fitch-stressed portfolio analysis and matrices analysis is 12 months less than the WAL covenant at the issue date, to account for the strict reinvestment conditions envisaged by the transaction after its reinvestment period. These include passing both the coverage tests and the Fitch 'CCC' maximum limit, 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 in the mean default rate (RDR) and a 25% decrease in the recovery rate (RRR) across the all the ratings of the current portfolio would have no impact on the class A-R to class C-R notes, but would lead to downgrades of one notch each for the class D-R and 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 defaults and portfolio deterioration. The class B-R-to-F-R notes each have a rating cushion of two notches, due to the current portfolio's better metrics and shorter life 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 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 each for the class A-R to D-R notes and to below 'B-sf' for the class E-R and F-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction in the RDR and a 25% increase in the RRR across all the ratings of the Fitch-stressed portfolio would lead to upgrades of up to two notches each for the rated notes, except for the 'AAAsf' rated notes. Upgrades during the reinvestment period, which are based on the Fitch-stressed portfolio, may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the remaining life of the transaction. Upgrades after the end of the reinvestment period, except for the 'AAAsf' notes, 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 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 Anchorage Capital Europe CLO 2021-4 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. ANCHORAGE CAPITAL 2021-4: S&P Assigns B-(sf) Rating on F-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its credit ratings to Anchorage Capital Europe CLO 2021-4 DAC's class A-R to F-R European cash flow CLO notes. At closing, the issuer also has unrated subordinated notes outstanding from the existing transaction and issued additional subordinated notes. This transaction is a reset of the already existing transaction that closed in March 2021. The existing classes of notes were fully redeemed with the proceeds from the issuance of the replacement notes. S&P withdrew its ratings on the original notes on the reset date. Under the transaction documents, the rated notes will pay quarterly interest unless a frequency switch event occurs. Following this, the notes will permanently switch to semiannual payments. The portfolio's reinvestment period ends approximately 4.49 years after closing, and its noncall period ends 1.5 years after closing. The ratings reflect S&P's assessment of: -- The diversified collateral pool, which primarily comprises broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes 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 2,766.11 Default rate dispersion 524.77 Weighted-average life (years) 4.48 Weighted-average life extended to cover the reinvestment period (years) 4.49 Obligor diversity measure 143.24 Industry diversity measure 19.20 Regional diversity measure 1.19 Transaction key metrics Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 2.73 Target 'AAA' weighted-average recovery (%) 36.00 Target weighted-average spread (net of floors; %) 3.62 Target weighted-average coupon (%) 5.62 Rationale S&P said, "Our ratings reflect our assessment of the collateral portfolio's credit quality, which has a weighted-average rating of 'B'. The portfolio is well-diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans and senior secured bonds. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "Until the end of the reinvestment period on April 25, 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. This test looks at the total amount of losses that the transaction can sustain as established by the initial cash flows for each rating, and compares that with the current portfolio's default potential plus par losses to date. As a result, until the end of the reinvestment period, the collateral manager may through trading deteriorate the transaction's current risk profile, if the initial ratings are maintained. "In our cash flow analysis, we used the EUR450 million target par amount, the covenanted weighted-average spread (3.55%), the covenanted weighted-average coupon (4.50%), and the target weighted-average recovery rates at each rating level calculated in line with our CLO criteria. 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. "Our credit and cash flow analysis show that the class B-R to D-R notes benefit 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 classes A-R and E-R notes can withstand stresses commensurate with the assigned ratings. "For the class F-R notes, our credit and cash flow analysis indicate that the available credit enhancement could withstand stresses commensurate with a lower rating. However, we have applied our 'CCC' rating criteria, resulting in a 'B- (sf)' rating on this class of notes." The ratings uplift for the class F-R notes reflects several key factors, including: -- The class F-R notes' available credit enhancement, which is in the same range as that of other CLOs we have rated and that have recently been issued in Europe. -- The portfolio's average credit quality, which is similar to other recent CLOs. -- S&P's model generated BDR at the 'B-' rating level of 23.96% (for a portfolio with a weighted-average life of 4.48 years), versus if we were to consider a long-term sustainable default rate of 3.2% for 4.48 years, which would result in a target default rate of 14.34%. -- S&P does not believe that there is a one-in-two chance of this note defaulting. -- S&P does not envision this tranche defaulting in the next 12-18 months. S&P said, "Following this analysis, we consider that the available credit enhancement for the class F-R notes is commensurate with the assigned 'B- (sf)' rating. "Under our structured finance sovereign risk criteria, we consider that the transaction's exposure to country risk is sufficiently mitigated at the assigned rating levels. "We consider the transaction's documented counterparty replacement and remedy mechanisms to adequately mitigate its exposure to counterparty risk under our current counterparty criteria. "We consider the transaction's legal structure and framework to be bankruptcy remote. The issuer is a special-purpose entity that meets our criteria for bankruptcy remoteness. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe that our ratings are commensurate with the available credit enhancement for the class A-R to F-R notes. "In addition to our standard analysis, to provide an indication of how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we have also included the sensitivity of the ratings on the class A-R to E-R notes based on four hypothetical scenarios. "As our ratings analysis makes additional considerations before assigning ratings in the 'CCC' category, and we would assign a 'B-' rating if the criteria for assigning a 'CCC' category rating are not met, we have not included the above scenario analysis results for the class F-R notes." The transaction securitizes a portfolio of primarily senior secured leveraged loans and bonds, and is managed by Anchorage CLO ECM, LLC. Environmental, social, and governance S&P said, "We regard the exposure to environmental, social, and governance (ESG) credit factors in the transaction as being broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental credit factors is viewed as below average, social credit factors are below average, and governance credit factors are average. For this transaction, the documents prohibit assets from being related to certain activities, including, obligors deriving revenue from certain industries like production of palm oil, affecting animal welfare etc. Accordingly, since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Ratings Amount Credit Class Rating* (mil. EUR) enhancement (%) Interest rate§ A-R AAA (sf) 270.00 40.00 3mE +1.33% B-R AA (sf) 56.25 27.50 3mE +1.85% C-R A (sf) 26.00 21.72 3mE +2.20% D-R BBB- (sf) 32.50 14.50 3mE +3.40% E-R BB- (sf) 22.50 9.50 3mE +5.70% F-R B- (sf) 13.50 6.50 3mE +8.42% Sub. Notes NR 61.73 N/A N/A *The ratings assigned to the class A-R and B-R notes address timely interest and ultimate principal payments. The ratings assigned to the class C-R to F-R notes address ultimate interest and principal payments. §The payment frequency switches to semiannual and the index switches to six-month EURIBOR when a frequency switch event occurs. NR--Not rated. N/A--Not applicable. 3mE--Three-month EURIBOR. ARAN FUNDING 2025-1: S&P Assigns B-(sf) Rating on F-Dfrd Notes -------------------------------------------------------------- S&P Global Ratings assigned credit ratings to Aran Funding 2025-1 DAC's class A, B-Dfrd, C-Dfrd, D-Dfrd, E-Dfrd, and F-Dfrd notes. At closing, the issuer also issued unrated class Z1-Dfrd and Z2-Dfrd notes, class X notes, and a portfolio overcollateralization amount. The asset pool for Aran Funding 2025-1 DAC contains EUR405.8 million first-lien residential mortgage loans located in Ireland. Exicon DAC (formerly KBC Bank Ireland PLC) originated the loans. The pool comprises 95.5% owner-occupied properties and 4.5% buy-to-let (BTL) loans. This transaction is a refinancing of Kinbane 2022-RPL 1 DAC, which S&P rated. At closing, the issuer used the class A, B-Dfrd, C-Dfrd, D-Dfrd, E-Dfrd, F-Dfrd, and Z notes' issuance proceeds to purchase beneficial title of the mortgage loans from the seller. The issuer grants security over all its assets to the trustee. The assets portfolio has all been originated by Exicon DAC (formerly KBC Bank Ireland PLC), most (99%) before 2010. KBC Bank Ireland PLC announced its exit from the Irish market in April 2021, returning its banking license to the Central Bank of Ireland in April 2024. The administrator, Pepper Finance Corporation (Ireland) DAC, is an experienced servicer with well-established and fully integrated servicing systems and policies. The capital structure provides 29.93% of available credit enhancement for the class A notes through subordination and the non-liquidity reserve fund. A fully funded liquidity reserve fund is available to meet revenue shortfalls on the class A notes, and the non-liquidity reserve fund is available to meet revenue shortfalls and provide credit enhancement to all rated notes. The application of principal proceeds is fully sequential. Credit enhancement can therefore build up over time for the rated notes, enabling the capital structure to withstand performance shocks. On each interest payment date for 10 years, principal equal to an annualized 0.50% of the outstanding portfolio balance will be transferred to the revenue waterfall to supplement the available revenue. Any unutilized portfolio overcollateralization amount will be available as credit enhancement. Of the loans in the pool, 96.5% have been subject to a restructure. In stressed economic conditions, these borrowers are more likely to return into arrears. S&P said, "We considered this risk in our analysis and increased our weighted-average foreclosure frequency (WAFF) assumptions. Additionally, EUR1.11 million warehoused loans are subject to potential future write-off, EUR0.39 million loans located in the U.K., and EUR0.11 million loans with legal title issues in the pool. We incorporated this risk within our cash flow analysis and under-collateralized the pool by the outstanding amount of these loans." The transaction does not have a swap to mitigate the basis risk between the ECB tracker loans and the interest on the liabilities. S&P accounted for this basis risk in its analysis. The documented replacement mechanisms adequately mitigate the transaction's exposure to counterparty risk for the transaction and swap collateral account and the swap counterparty in line with our counterparty criteria. S&P said, "For this analysis, we consider the final transaction and legal documents to be consistent with our criteria. However, we may revise our ratings in the future should risks emerge under any of these areas." Borrowers pay into collection accounts held with Bank of Ireland in the legal titleholder's name. The transaction documents will establish a declaration of trust in the issuer's favor, over any amounts in the collection account attributable to the mortgage loans in the portfolio. S&P considers commingling risk to be adequately mitigated under its counterparty criteria and have not applied any additional adjustments in its cash flow modelling. The issuer is an Irish special-purpose entity, which S&P considers to be bankruptcy remote. S&P has received the relevant transaction documents and legal opinions confirming that the sale of the assets would survive the seller's insolvency. Ratings Class Rating Amount (mil. EUR) Class size (%) A AAA (sf) 290.20 71.50 B-Dfrd AA+ (sf) 22.32 5.50 C-Dfrd A (sf) 14.21 3.50 D-Dfrd BBB (sf) 12.18 3.00 E-Dfrd BB (sf) 10.15 2.50 F-Dfrd B- (sf) 8.12 2.00 RFN NR 5.79 1.43 Z1-Dfrd NR 22.32 5.50 Z2-Dfrd NR 6.09 1.50 X NR 2.00 N/A POA NR 20.29 5.00 Note: Our ratings address timely receipt of interest and ultimate repayment of principal on the class A notes and the ultimate payment of interest and principal on the other rated notes. S&P's ratings on the class D-Dfrd, E-Dfrd, and F-Dfrd notes also address the payment of interest based on the lower of the stated coupon and the net weighted-average coupon. NR--Not rated. N/A--Not applicable. POA--Portfolio overcollateralization amount. CARLYLE EURO 2022-5: Fitch Assigns B-sf Rating on Cl. E-R-R Notes ----------------------------------------------------------------- Fitch Ratings has assigned Carlyle Euro CLO 2022-5 DAC reset notes final ratings. Entity/Debt Rating ----------- ------ Carlyle Euro CLO 2022-5 DAC A-1-R-R Loan LT AAAsf New Rating A-1-R-R XS3199367932 LT AAAsf New Rating A-2-R-R XS3199368237 LT AAsf New Rating B-R-R XS3199368740 LT Asf New Rating C-R-R XS3199369128 LT BBB-sf New Rating D-R-R XS3199369631 LT BB-sf New Rating E-R-R XS3199370050 LT B-sf New Rating Transaction Summary Carlyle Euro CLO 2022-5 DAC is a securitisation of mainly (at least 90%) senior secured obligations with a component of senior unsecured, mezzanine, second lien loans and high-yield bonds. Note proceeds were used to redeem the notes, except the subordinated ones, and to fund a portfolio with a target par of EUR357.5 million. The portfolio is actively managed by Carlyle CLO Management Europe LLCand the CLO has a reinvestment period of about 4.5 years and an 8.5-year weighted average life (WAL) test covenant at closing, which can be extended one year after closing, subject to conditions. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors at 'B'/'B-'. The Fitch weighted average rating factor of the identified portfolio is 24.7. 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 identified portfolio is 60.7%. Diversified Portfolio (Positive): The transaction includes various portfolio concentration limits, including a top 10 obligor concentration limit of 15% and a maximum exposure to the three-largest Fitch-defined industries of 40%. These covenants ensure the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction includes one matrix set at closing and one forward matrix set that is effective one year after closing, provided that the aggregate collateral balance (defaults carried at Fitch-calculated collateral value) is at least at the reinvestment target par balance. Each matrix set comprises two matrices with fixed-rate asset limits of 5% and 10%, respectively. 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 by the transaction after its reinvestment period, which include passing the coverage tests and the Fitch 'CCC' bucket limitation test after reinvestment and a WAL 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 A 25% increase of the mean default rate (RDR) and a 25% decrease of the recovery rate (RRR) across all ratings of the identified portfolio would have no impact on the class A-1-RR to B-R-R notes and would lead to downgrades of one notch each for the class C-R-R and D-R-R notes. It would also lead to a downgrade to below 'B-sf' for the class F-R notes. Downgrades, which are based on the identified portfolio, may occur if the loss expectation is larger than assumed, due to unexpectedly high levels of default and portfolio deterioration. The rated notes each have a rating cushion of up to 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 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 each for the class A-2-R-R and B-R-R notes, three notches each for the class A-1-R-R and C-R-R notes and to below 'B-sf' for the class D-R-R and E-R-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% fall of the mean RDR and a 25% rise in the RRR across all ratings of the Fitch-stressed portfolio would lead to upgrades of up to three notches for the reated notes, except the 'AAAsf' notes. Upgrades during the reinvestment period, which are based on the Fitch-stressed portfolio, may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the remaining life of the transaction. Upgrades after the end of the reinvestment period may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognised Statistical Rating Organisations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle Euro CLO 2022-5 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. CARLYLE EURO 2022-5: S&P Assigns B-(sf) Rating on Cl. E-R-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its credit ratings to the class A-1-R-R, A-1-R Loan, A-2-R-R, B-R-R, C-R-R, D-R-R, and E-R-R notes issued by Carlyle Euro CLO 2022-5 DAC. The issuer has EUR29.95 million unrated subordinated notes outstanding from the existing transaction and issued an additional EUR7.35 million subordinated notes. Carlyle Euro CLO 2022-5 is a European cash flow CLO transaction, securitizing a portfolio of primarily senior secured leveraged loans and bonds. S&P said, "This transaction is a reset of the already existing transaction, which we rated. We withdrew our ratings on the existing classes of notes, which were fully redeemed with the proceeds from the issuance of the replacement notes." Carlyle CLO Management Europe LLC manages the transaction. Under the transaction documents, the rated loan and notes will pay quarterly interest unless a frequency switch event occurs. Following this, the notes will permanently switch to semiannual payments. The portfolio's reinvestment period will end approximately four and half years after closing and the noncall period will end one and a half years after closing. The ratings assigned to Carlyle Euro CLO 2022-5's reset notes reflect our assessment of: -- The diversified collateral pool, which primarily comprises syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which are in line with S&P's counterparty rating framework. -- This transaction has a one and half year noncall period and the portfolio's reinvestment period will end four and half years after closing. Portfolio benchmarks S&P Global Ratings' weighted-average rating factor 2,773.14 Default rate dispersion 528.50 Weighted-average life (years) 4.42 Weighted-average life extended to cover the length of the reinvestment period (years) 4.50 Obligor diversity measure 140.38 Industry diversity measure 20.14 Regional diversity measure 1.39 Transaction key metrics Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 2.15 Actual target 'AAA' weighted-average recovery (%) 36.09 Actual target weighted-average spread (net of floors; %) 3.75 Actual target weighted-average coupon 4.02 S&P said, "Our ratings reflect our assessment of the collateral portfolio's credit quality, which has a weighted-average rating of 'B'. The portfolio is well diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans and senior secured bonds. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "In our cash flow analysis, we used the EUR357.50 million target par amount, the actual weighted-average spread (3.75%), the actual weighted-average coupon (4.02%), the covenanted weighted average recovery rate at the 'AAA' rating level (36.09%), and the actual weighted-average recovery rate at all other rating levels in line with our CLO criteria. 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. "Our credit and cash flow analysis show that the class A-2-R-R, B-R-R, C-R-R, and D-R-R notes benefit from break-even default rate (BDR) and scenario default rate cushions that we would typically consider to be in line with higher ratings than those assigned. However, as the CLO is still in its reinvestment phase, during which the transaction's credit risk profile could deteriorate, we have capped our ratings on these classes of notes. The class A-1-R-R and E-R-R notes and A-1-R Loan can withstand stresses commensurate with the assigned ratings. "Until the end of the reinvestment period on April 25, 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. This test looks at the total amount of losses that the transaction can sustain as established by the initial cash flows for each rating and compares that with the default potential of the current portfolio plus par losses to date. As a result, until the end of the reinvestment period, the collateral manager may, through trading, deteriorate the transaction's current risk profile, if the initial ratings are maintained. "Under our structured finance sovereign risk criteria, we consider that the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. "We consider that the transaction's documented counterparty replacement and remedy mechanisms mitigate its exposure to counterparty risk under our current counterparty criteria. "The transaction's legal structure is bankruptcy remote, in line with our legal criteria. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe that our assigned ratings are commensurate with the available credit enhancement for the class A-1-R-R to E-R-R notes and A-1-R Loan. "In addition to our standard analysis, to provide an indication of how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we have also included the sensitivity of the ratings on the class A-1-R-R to D-R-R notes and A-1-R 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-R-R notes." Environmental, social, and governance S&P said, "We regard the exposure to environmental, social, and governance (ESG) credit factors in the transaction as being broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental credit factors is viewed as below average, social credit factors are below average, and governance credit factors are average. "For this transaction, the documents prohibit assets from being related to certain industries. Accordingly, since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Ratings Amount Credit Class Rating* (mil. EUR) enhancement (%) Interest rate§ A-1-R-R AAA (sf) 132.08 38.00 Three-month EURIBOR plus 1.30% A-1-R Loan AAA (sf) 89.56 38.00 Three-month EURIBOR plus 1.30% A-2-R-R AA (sf) 37.53 27.50 Three-month EURIBOR plus 1.90% B-R-R A (sf) 21.09 21.60 Three-month EURIBOR plus 2.20% C-R-R BBB- (sf) 26.81 14.10 Three-month EURIBOR plus 3.10% D-R-R BB- (sf) 16.44 9.50 Three-month EURIBOR plus 6.00% E-R-R B- (sf) 10.72 6.50 Three-month EURIBOR plus 8.33% Sub NR 37.30 N/A N/A *The ratings assigned to the class A-1-R-R and A-2-R-R notes and A-1-R Loan address timely interest and ultimate principal payments. The ratings assigned to the class B-R-R to E-R-R notes address ultimate interest and principal payments. § The payment frequency switches to semiannual and the index switches to six-month EURIBOR when a frequency switch event occurs. EURIBOR--Euro Interbank Offered Rate. NR--Not rated. N/A--Not applicable. DUTCH MORTGAGE 2025-1: DBRS Finalizes BB Rating on Class X Notes ---------------------------------------------------------------- DBRS Ratings GmbH finalized its provisional credit ratings on the following classes of notes issued by Dutch Mortgage Finance 2025-1 B.V. (the Issuer) as follows: -- Class A Notes at AAA (sf) -- Class B Notes at AA (high) (sf) -- Class C Notes at A (high) (sf) -- Class D Notes at BBB (high) (sf) -- Class E Notes at BB (high) (sf) -- Class X Notes at BB (sf) The finalized credit ratings on the Class E Notes are two notches higher than the provisional credit rating Morningstar DBRS assigned due to the lower margins on the notes after they priced. The credit rating on the Class A Notes addresses the timely payment of interest and the ultimate repayment of principal by the legal final maturity date in August 2059. The credit rating on the Class B Notes addresses the timely payment of interest when most senior and the ultimate payment of principal by the legal final maturity date. The credit ratings on the Class C, Class D, Class E, and Class X Notes address the ultimate payment of interest and principal by the legal final maturity date. Morningstar DBRS does not rate the Class F, Class S1, Class S2, and Class R Notes, which have also been issued in this transaction. CREDIT RATING RATIONALE The Issuer is a bankruptcy-remote special-purpose vehicle to be incorporated in the Netherlands. The Issuer used the proceeds of the issued notes to fund the purchase of Dutch mortgage receivables originated or acquired by RNHB B.V. (RNHB or the original seller). The original seller sold the portfolio to the seller through several warehouses. In turn, the seller who, via the interim seller, sold the portfolio and the legal title of the mortgage receivables to the Issuer. The Issuer used proceeds from the Class X and R Notes to fund the reserve fund (RF). The original seller is a buy-to-let and middle market real estate lending business in the Netherlands and was incorporated on 16 September 2016. However, the history of the mortgage-lending business that the seller now owns dates back to 1890, when Nederlandse Hypotheekbank was founded. In 2008, Rijnlandse Hypotheekbank and Nederlandse Hypotheekbank (both owned by Rabobank) formally merged to form the RNHB business within FGH Bank N.V. (FGH). In December 2016, the RNHB business and loan portfolio were acquired by a consortium of (1) funds managed by AB CarVal Investors L.P. (CarVal) and (2) Arrow Global Group Plc, with CarVal holding the majority interest. Vesting Finance Servicing B.V., together with RNHB as master and special servicer, is the primary servicer of the mortgage portfolio, and CSC Administrative Services (Netherlands) B.V. acts as a replacement servicer facilitator. As of 30 September 2025, the final portfolio consisted of 2,756 loans with a total portfolio balance of approximately EUR 794.5 million. The weighted-average (WA) seasoning of the final portfolio is 3.4 years with a WA remaining term of 4.3 years. The WA current loan-to-value ratio (LTV) remains comparatively low for a Dutch portfolio at 60.8%. Almost all the loans (99.8%) in the portfolio are fixed with future resets while the notes pay a floating rate of interest. To address this interest rate mismatch, the transaction is structured with a fixed-to-floating interest rate swap that swaps the fixed interest rate received from the assets for three-month Euribor. The portfolio is performing at 99.7%, and only 0.3% of the loans are in arrears equal to or greater than one month. An additional loan of EUR 26.5 million, which was originated after the provisional pool cut-off date of 31 July 2025 (post-provisional loan), was included in the final pool. The post-provisional loan has a three-year term, is interest only and bears a fixed rate of approximately 5.0%, has a current LTV of 64.4%, and is fully performing. The post-provisional loan differs from the rest of the portfolio by its size and by its collateral. It is backed by a single residential block of 195 units and 55 parking spaces in Amsterdam. Most of the residential units are single rooms for student accommodation and others are apartments rented to professionals. Until the first optional redemption date (FORD) in November 2030, RNHB can grant, and the Issuer must purchase, further advances subject to their adherence to asset conditions and available principal funds. The transaction documents specify criteria that must be met during this period for further advances to be sold to the Issuer. Morningstar DBRS considered these conditions when assessing the possibility of the portfolio LTV increasing as a result of further advances. Morningstar DBRS calculated credit enhancement for the Class A Notes at 13.8%, provided by the subordination of the Class B to Class F Notes and the RF. Credit enhancement for the Class B Notes will be 10.0%, provided by the subordination of the Class C to Class F Notes and the RF. Credit enhancement for the Class C Notes will be 7.0%, provided by the subordination of the Class D to Class F Notes and the RF. Credit enhancement for the Class D Notes will be 5.0%, provided by the subordination of the Class E to Class F Notes and the RF. Credit enhancement for the Class E Notes will be 3.5%, provided by the subordination of the Class F Notes and the RF. The transaction benefits from an RF fully funded at closing from the overall deal proceeds, which provides credit and liquidity support to the Class A to Class F Notes. The RF is amortizing with a target amount equal to 1.5% of the outstanding balance of the Class A to Class F Notes with a floor on and after the FORD of 1.5% of the Class A to Class F Notes' outstanding balance at the time of FORD. Additionally, the notes have liquidity support from principal receipts, which the Issuer can use to cover interest shortfalls on the most-senior class of notes, provided that a credit is applied to the principal deficiency ledgers in reverse-sequential order. The Issuer entered into a fixed-to-floating balanced-guaranteed swap with NatWest Markets N.V. (NatWest; rated A (high) with a stable trend by Morningstar DBRS) and a fixed-to-floating banded balanced-guaranteed swap (banded BGS) with Citibank Europe plc (Citi Europe; rated AA (low) with a stable trend by Morningstar DBRS) to mitigate the fixed interest rate risk from the mortgage loans and the three-month Euribor payable on the notes. The hedging provided by NatWest applies from closing until the first reset date of the fixed-rate loans, after which the hedging from Citi Europe takes over. The Issuer has also the option to continue with the fixed-to-floating balanced-guaranteed swap provided by NatWest after the first reset date of the fixed-rate loans. The notional of the swaps is linked to the performing balance (less than 180 days in arrears) of the fixed-rate assets, banded by the amortization schedules assuming 3% constant principal repayment (CPR) and 15% CPR in case of the banded BGS. The Issuer will pay a fixed swap rate and receive three-month Euribor in return. The original seller also covenants that, on an average basis, the fixed-rate mortgage reset rate for a loan will, at the minimum, be equal to the swap rate plus 2.25% and the overall WA margin of the pool cannot fall below the swap rate plus 2.50%. The swaps' documents reflect Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology when Morningstar DBRS has a public credit rating on the relevant counterparty. In the absence of a public credit rating on the swap counterparty, Morningstar DBRS will monitor the transaction and take credit rating actions according to a private credit rating, if available, or internal assessment as per Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions". The Issuer account bank and paying agent is U.S. Bank Europe DAC (U.S. Bank Europe). Morningstar DBRS' private credit rating on U.S. Bank Europe is consistent with the threshold for the account bank as outlined in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology, given the credit ratings assigned to the notes. Morningstar DBRS based its credit ratings primarily on the following analytical considerations: -- The transaction's capital structure, including the form and sufficiency of available credit enhancement and liquidity provisions. -- Estimated stress-level probability of default (PD), loss given default (LGD), and expected loss (EL) levels on the mortgage portfolio composed of the final portfolio, which includes the post-provisional loan. Morningstar DBRS stressed the mortgage portfolio in accordance with the relevant asset conditions. The mortgage portfolio was analyzed in accordance with Morningstar DBRS' "European RMBS Insight Methodology". Morningstar DBRS also applied commercial market value declines in accordance with its "European CMBS Rating and Surveillance Methodology". Separate analysis was performed on the post-provisional loan to address the property concentration risk in accordance with multifamily properties as described in the "European CMBS Rating and Surveillance Methodology". -- The transaction's ability to withstand stressed cash flow assumptions and repay investors in accordance with the terms and conditions of the Notes. Morningstar DBRS analyzed the transaction cash flows using PD, LGD, and EL derived on the mortgage portfolio. -- The structural mitigants in place to avoid potential payment disruptions caused by operational risk, in particular the presence of the liquidity reserve. -- The transaction parties' financial strength to fulfil their respective roles. -- The consistency of the transaction's legal structure with Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology and the expectation of legal opinions addressing the assignment of the assets to the Issuer. Notes: All figures are in euros unless otherwise noted. RRE 2: S&P Assigns BB-(sf) Rating on Class D-R Notes ---------------------------------------------------- S&P Global Ratings assigned credit ratings to RRE 2 Loan Management DAC's class A-1-R loan, and class A-1-R, A-2-R, B-R, C-1-R, C-2-R, and D-R notes. At closing, the issuer has EUR54.89 million of unrated subordinated notes outstanding from the existing transaction and has issued an additional EUR3.00 million of subordinated notes. This transaction is a reset of the already existing transaction that closed in June 2021.The issuance proceeds of the refinancing debt were used to redeem the refinanced debt, and pay fees and expenses incurred in connection with the reset. S&P has withdrawn its ratings on the original notes. Under the transaction documents, the rated notes and loan will pay quarterly interest, unless a frequency switch event occurs. Following such an event, the notes and loan would permanently switch to semiannual payments. The portfolio's reinvestment period ends 4.71 years after closing; the non-call period ends 1.5 years after closing. The ratings assigned to the reset notes and loan 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 experience of the collateral manager's 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 2674.09 Default rate dispersion 605.55 Weighted-average life (years) 4.71 Obligor diversity measure 123.23 Industry diversity measure 21.41 Regional diversity measure 1.21 Transaction key metrics Portfolio weighted-average rating derived from S&P's CDO evaluator B Portfolio target par (mil. EUR) 500.89 'CCC' category rated assets (%) 1.62 Target 'AAA' weighted-average recovery (%) 36.90 Target weighted-average spread (%) 3.55 Target weighted-average coupon (%) 3.16 The portfolio is well-diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans and senior secured bonds. Therefore, S&P has conducted its credit and cash flow analysis by applying its criteria for corporate cash flow CDOs. S&P said, "In our cash flow analysis, we used the EUR500 million target par amount, the covenanted weighted-average spread (3.45%), and the actual weighted-average coupon (3.16%), as indicated by the collateral manager. We assumed the targeted 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 July 15, 2030, when the reinvestment period ends, the collateral manager may substitute the assets in the portfolio, as long the 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 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, cause the transaction's credit risk profile to deteriorate. S&P said, "Under our structured finance sovereign risk criteria, we consider that the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. "The transaction's 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, in line with our legal criteria. "Our credit and cash flow analysis indicates that the available credit enhancement for class A-2-R to D-R notes could withstand stresses commensurate with higher ratings than those we have assigned. However, as the CLO is in its reinvestment period until July 15, 2030, during which the transaction's credit risk profile could deteriorate, we have capped 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-R loan and class A-1-R notes to D-R notes. "In addition to our standard analysis, to indicate how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we also assessed the sensitivity of our ratings on the class A-1 R to D-R notes, based on four hypothetical scenarios. " Environmental, social, and governance S&P said, "We regard the exposure to environmental, social, and governance (ESG) credit factors in the transaction as being broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental credit factors is viewed as below average, social credit factors are below average, and governance credit factors are average. For this transaction, the documents prohibit assets from being related to certain industries. Accordingly, since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Ratings Amount Credit Class Rating* (mil. EUR) enhancement (%) Interest rate§ A-1-R AAA (sf) 240.00 38.00 Three /six-month EURIBOR plus 1.28% A-1-R loan AAA (sf) 70.00 38.00 Three /six-month EURIBOR plus 1.28% A-2-R AA (sf) 45.00 29.00 Three /six-month EURIBOR plus 1.75% B-R A (sf) 40.00 21.00 Three/six-month EURIBOR plus 2.10% C-1-R BBB (sf) 25.00 16.00 Three/six-month EURIBOR plus 2.45% C-2-R BBB- (sf) 10.00 14.00 Three/six-month EURIBOR plus 3.50% D-R BB- (sf) 23.15 9.37 Three/six-month EURIBOR plus 4.80% Additional sub. Notes NR 3.00 N/A N/A Sub notes NR 57.89 N/A N/A *The ratings assigned to the class A-1-R loan and class A-1-R and A-2-R notes address timely interest and ultimate principal payments. The ratings assigned to the class B-R, C-1 R, C-2 R, and D-R notes address ultimate interest and principal payments. The payment frequency permanently switches to semiannual and the index switches to six-month EURIBOR when a frequency switch event occurs. EURIBOR--Euro Interbank Offered Rate. NR--Not rated. N/A--Not applicable. Sub. notes--Subordinated notes. ========= I T A L Y ========= GOLDEN BAR 2025-2: Fitch Assigns BB+sf Final Rating on Cl. F Notes ------------------------------------------------------------------ Fitch Ratings has assigned Golden Bar (Securitisation) S.r.l. - Series 2025-2 (GB 2025-2) notes final ratings. Entity/Debt Rating Prior ----------- ------ ----- Golden Bar (Securitisation) S.r.l. - Series 2025-2 A IT0005670903 LT AA+sf New Rating AA+(EXP)sf B IT0005671125 LT AAsf New Rating AA-(EXP)sf C IT0005671133 LT A-sf New Rating A-(EXP)sf D IT0005671141 LT BBBsf New Rating BBB(EXP)sf E IT0005671158 LT BBB-sf New Rating BBB-(EXP)sf F IT0005671166 LT BB+sf New Rating BB+(EXP)sf Transaction Summary GB 2025-2 is a securitisation of unsecured consumer loans and vehicles loans with standard and flexible amortisation or balloon repayment granted to individuals (persone fisiche) and individual entrepreneur borrowers, by Santander Consumer Bank S.p.A. (SCB), with a revolving period of two months. SCB is wholly owned by Santander Consumer Finance, S.A. (A/Stable/F1), the consumer credit arm of Banco Santander, S.A. (A/Stable/F1). The class B notes' final rating is one notch higher than the expected rating, due to the revised margins on all classes of notes. KEY RATING DRIVERS Diverse Portfolio Composition: Fitch's base-case default expectations are set at 6% for personal loans, 1.5% for new vehicles, 3% for used vehicles and 1.25% for balloon loans. Fitch assigned the same base case to flexible and standard auto loans, consistent with the predecessor transaction, as historical performance is not materially different. Pro Rata Subject to Triggers: The class A to E notes will repay pro rata until a sequential redemption event occurs. Fitch views a switch to sequential amortisation as unlikely in the base case, due to the gap between its portfolio loss expectations and performance triggers. The mandatory switch to sequential paydown when the collateral balance falls below a certain threshold mitigates tail risk. No Servicing Fees Modelled: The deal envisages an amortising replacement servicer fee reserve that will be funded on certain triggers being breached. The reserve is adequate to cover its stressed servicer fees at the notes' maximum achievable rating throughout the transaction's life. Consequently, Fitch has not modelled servicing fees in its cash flow analysis, resulting in higher excess spread being available to the structure. Excess Spread Notes Rating Cap: The class F excess spread notes are not collateralised and their interest and principal will be paid from the available excess spread. The notes will amortise from the issue date and in the two-month revolving period. Fitch caps the rating on these notes at 'BB+sf', in line with its Global Structured Finance Rating Criteria. 'AA+sf' Sovereign Cap: The class A notes are rated at their highest achievable rating, six notches above Italy's sovereign Long-Term Issuer Default Rating (IDR; BBB+/Stable/F1), which is the cap for Italian structured finance and covered bonds. The Stable Outlook on the class A notes reflects that on the sovereign. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade At the applicable rating cap, the class A notes rating is sensitive to changes in Italy's Long-Term IDR, as a downgrade of Italy's IDR and downward revision of the 'AA+sf' rating cap for Italian structured finance transactions would trigger downgrades of notes rated at this level. Unexpected increases in the frequency of defaults or decreases in recovery rates that could produce loss levels larger than the base case and could result in negative rating action on the notes. For example, a simultaneous increase in the default base case by 25% and decrease in the recovery base case by 25% would lead to up to three-notch downgrades of the class B to E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade An upgrade of Italy's IDR and revision of the related rating cap for Italian structured finance transactions could trigger an upgrade of the class A notes. An unexpected decrease in the frequency of defaults or an increase in the recovery rates could produce loss levels lower than the base case. For example, a simultaneous decrease in the default base case by 25% and an increase in the recovery base case by 25% would lead to upgrades of up to two notches for the class B to D notes, provided there are no other qualitative elements that could limit the ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, and concluded that there were no findings that affected the rating analysis. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. =================== L U X E M B O U R G =================== SAMSONITE FINCO: Fitch Rates New EUR350MM Notes 'BB+' ----------------------------------------------------- Fitch Ratings has assigned a 'BBB-' rating with a Recovery Rating of 'RR1' to Samsonite I.P. Holdings S.a r.l.'s new proposed senior secured facilities, including new $750 million term loan A and $494 million term loan B facilities, and an $850 million revolver. Additionally, Fitch has assigned a 'BB+'/'RR4' rating to Samsonite Finco S.ar.l's new proposed EUR350 million notes. Net proceeds will be used to refinance existing debt, of which there was approximately $1.83 billion outstanding as of June 30, 2025. Samsonite's 'BB+' rating reflects its position as the world's largest travel luggage company, with strong brands and historically good organic growth. Fitch expects Samsonite and its discretionary retail peers to experience near-term operational challenges due to softening consumer sentiment and the evolving U.S. tariff policy. Longer term, Samsonite's ratings assume the company can generate annual EBITDA of around $650 million-$700 million, with EBITDAR leverage sustained below 2.75x. Key Rating Drivers Near-Term Volatility: Fitch expects the U.S. retail sector to face near-term challenges, including declines in consumer sentiment, business disruption and rising costs related to evolving U.S. tariff policies. Discretionary categories could see revenue down as much as mid-single digits with outsized EBITDA declines, given tariff-related cost pressure. Fitch expects Samsonite's topline to decline around 5.0% in 2025 to $3.4 billion and EBITDA to decline around 15% to approximately $585 million. However, the company has good liquidity to withstand near-term volatility. Forecasted 2025 declines come after low-single digit revenue and EBITDA declines in 2024. Topline performance in 2024 was driven partly by softening demand in North America, and economic headwinds in China and India, which were down in the low-single digits and high-teens, respectively, for the year. Before 2024, Samsonite experienced a multi-year rebound, driven by post-pandemic travel recovery. Beginning in 2026, Fitch expects Samsonite to return to low-single-digit topline growth, given the company's growth initiatives and long-term fundamentals for the travel industry. Strategy Supports Margin Trajectory: Fitch expects EBITDA margins to moderate toward 17% in 2025, driven by fixed-cost deleveraging and increased cost pressures from current and potential tariffs. This is lower than the 19.0% generated in 2024 but well above the 13.5% generated in 2019. Since 2020, the company has executed cost-saving efforts, including reducing its net store count by approximately 14% between 2019 and 2024. Fitch expects the company will manage costs in the near term to help mitigate the topline deleverage and incremental costs related to tariffs. Beginning in 2026, margins could rebound towards the mid-18% range. Based on Fitch's topline assumptions, this yields EBITDA in the mid-to-high $600 million range beginning in 2026. Continued growth at the higher-margin Tumi brand could provide additional margin improvement. Mid-2x Leverage: Fitch expects EBITDAR leverage could trend towards 3x in 2025 from 2.7x in 2024, driven by EBITDA declines, before returning towards the mid-2x range in 2026, on EBITDA rebound and term loan amortization. Samsonite's 2.75x EBITDAR leverage rating threshold is low for a 'BB+' rating and is balanced by the company's more moderate scale. Fitch expects EBITDAR to trend below $1.0 billion across the forecast period. EBITDAR Below $1.0 Billion: Relative to larger retailers, Samsonite's smaller scale (measured by EBITDAR) results in reduced ability to navigate macroeconomic and idiosyncratic challenges, particularly given the discretionary nature of its products. These factors are offset by Samsonite's strong brands and leading market share position within its category. The company owns several well-known brands and operates across the value, mid-market and premium market segments, which enables Samsonite to offer a fully developed offering and grow market share. Leading Position: Samsonite's strategy, emphasizing multi-brand and product diversity, along with innovation and market segmentation, has enabled it to grow market share and become the world's largest travel luggage company, with $3.48 billion in revenues and $618 million in EBITDA for the LTM period ending June 30, 2025. As sales continue to shift to direct-to-consumer (DTC), Samsonite's YTD 2Q25 DTC sales penetration (about 28% of company-operated retail plus roughly 11% DTC e-commerce) supports ongoing brand growth with a healthy retail and wholesale mix. Good Liquidity: Samsonite has good liquidity and financial flexibility, with $669 million in cash and $744 million availability on its $850 million revolving credit facility as of June 30, 2025. Fitch expects the company to generate positive FCF (after dividends to shareholders) of $80 million-$180 million beginning in 2025. Samsonite is listed on the Hong Kong Stock Exchange. In August 2024, Samsonite announced that its board had approved it to pursue a dual listing in the U.S. Fitch believes any proceeds from a dual listing could be used towards a combination of debt repayment, dividends, or reinvestment into the business. Parent-Subsidiary Linkage: Fitch's analysis includes a strong subsidiary/weak parent approach between parent Samsonite Group S.A. and its subsidiary Samsonite IP Holdings S.a r.l. Fitch assesses the quality of the overall linkage as high, which results in an equalization of the ratings. The equalization reflects open legal ring-fencing and open access and control between the stronger subsidiaries and the parent. Peer Analysis Levi Strauss & Co.'s (BBB-/Stable) and Signet Jewelers Limited's (BBB-/Stable) ratings are one notch above Samsonite's. This reflects their lower EBITDAR leverage, which Fitch expects to trend below 2.0x for both ratings. Signet's ratings consider good execution from a topline and margin standpoint, which supports Fitch's longer-term expectations of low single-digit revenue and EBITDA growth. The rating reflects Signet's leading market position as a U.S. specialty jeweler with an approximately 9% share of a highly fragmented industry. Levi's rating considers the company's good execution both from a topline and a margin standpoint, which supports Fitch's longer-term expectations of low single-digit revenue and EBITDA growth, although there could be some near-term pressure on operating results due to ongoing shifts in consumer behavior, difficult comparisons and global macroeconomic uncertainty. Capri Holdings Limited's 'BB'/Negative rating is one notch lower than Samsonite's reflecting in-part its higher EBITDAR leverage and weaker coverage metrics. Capri's Negative Outlook indicates potential for EBITDAR leverage sustained above 3.0x and EBITDAR fixed charge coverage sustained below 2.0x over the next 12-24 months. Key Assumptions - 2025 revenue to decline in the mid-single digits, driven by ongoing headwinds to consumer discretionary spending. Topline growth could return to the low-single digit growth range beginning in 2026, driven by the company's ongoing topline initiatives as well as general good fundamentals for the global travel industry. - EBITDA to decline towards $585 million in 2025 from $683 million in 2024, driven by topline declines. Fitch expects 2026 to be a rebound year. Longer term, Fitch expects EBITDA could trend in the mid-to-high $600 million range, driven by low-single digit topline growth and margin expansion. Gross margin and EBITDA margins could be supported by higher growth at the company's higher-end Tumi brand, which is a higher-margin business. - Annual FCF (after dividends to shareholders) to sustain at $80 million-$180 million annually beginning in 2025. Fitch assumes Samsonite could deploy about $120 million annually towards capex, including store refurbishments. In 2024, the company reinstated its annual cash distributions to shareholders, after suspending them at the beginning of the pandemic, and paid $150 million to shareholders on July 16, 2024. On July 15, 2025, Samsonite paid a cash dividend of $150 million to shareholders for the year ended December 31, 2024. Fitch expects Samsonite will continue paying out $150 million in annual dividends. - Fitch expects EBITDAR leverage could climb from 2.7x in 2024 to 3.0x in 2025, driven by EBITDA declines. Thereafter, Fitch expects EBITDAR leverage could return towards the mid-2x range, driven by EBITDA rebound and term loan amortization. - Fitch expects EBITDAR fixed charge coverage to trend around 3.0x beginning in 2026. - The company's debt structure as of June 30, 2025, consists of EUR350 million in fixed-rate notes (3.5%) due May 2026, about $1.3 billion in floating-rate term loan A and term loan B debt due 2028 and 2030, respectively, and $100 million in borrowings on the company's floating-rate revolving credit facility due 2028. Variable base rates are 3.5%-4.5% range over the forecast horizon. Recovery Analysis Fitch does not employ a waterfall recovery analysis for issuers' assigned ratings in the 'BB' category. Fitch rates Samsonite's first-lien secured debt, consisting of the revolver and term loans, at 'BBB-'/'RR1', which is one notch above the IDR and indicates outstanding recovery prospects given default. The revolver and term loans are unconditionally guaranteed by the company and certain subsidiaries. They are secured by substantially all assets of the borrowers and guarantors on a first-lien basis. The senior notes are rated 'BB+'/'RR4', indicating average recovery prospects. The senior notes are guaranteed on a senior subordinated basis. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - EBITDAR leverage sustained above 2.75x; - EBITDAR fixed charge coverage sustained below mid-2.0x. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Topline growth yielding EBITDAR trending towards $1.0 billion; - EBITDAR leverage sustained below 2.25x; - EBITDAR fixed charge coverage sustained above 3.0x. Liquidity and Debt Structure Samsonite had $1.4 billion in total liquidity as of June 30, 2025, consisting of $669 million in cash and $744 million in availability on its revolving credit facility. As of June 30, 2025, Samsonite's debt structure consisted of an $850 million revolver due 2028 with $100 million in borrowings as of this date; $760 million in term loan A debt due 2028; $495 million in term loan B debt due 2030; and EUR350 million of senior notes due 2026. Proforma for the transaction, Samsonite's debt consists of a $750 million term loan A due in 2030, a $494 million term loan B, due in 2032, a new $850 million revolver due in 2030, and EUR350 million in new senior notes due in 2033. The new debt is expected to repay existing outstanding borrowings of approximately $1.83 billion as of June 30, 2025. Issuer Profile Samsonite, the world's largest luggage company, sells luggage, business and computer bags, outdoor and casual bags and travel accessories. For LTM ended June 30, 2025, revenue was $3.48 billion and EBITDA $618 million. Key brands include Samsonite, Tumi and American Tourister. Summary of Financial Adjustments Fitch adjusted historical and projected EBITDA to add back non-cash stock-based compensation and exclude non-recurring charges. Fitch uses the balance sheet reported lease liability as the capitalized lease value when computing lease-equivalent debt. Date of Relevant Committee 20 May 2025 MACROECONOMIC ASSUMPTIONS AND SECTOR FORECASTS Fitch's latest quarterly Global Corporates Sector Forecasts Monitor 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 ----------- ------ -------- Samsonite Finco S.ar.l. Senior Secured 2nd Lien LT BB+ New Rating RR4 Samsonite IP Holdings S.a r.l. senior secured LT BBB- New Rating RR1 SAMSONITE GROUP: Moody's Affirms 'Ba2' CFR, Outlook Remains Stable ------------------------------------------------------------------ Moody's Ratings affirmed Samsonite Group S.A.'s ("Samsonite") Ba2 Corporate Family Rating and Ba2-PD Probability of Default Rating. Concurrently, Moody's assigned Ba1 ratings to Samsonite IP Holdings S.a.r.l's (SIPH) proposed backed senior secured first lien bank credit facilities consisting of a revolving credit facility, term loan A, and term loan B. Moody's also assigned a B1 rating to the proposed backed senior secured notes due 2033 issued by Samsonite Finco S.a.r.l (Finco). Moody's took no action on, and expect to withdraw, the ratings on the existing credit facilities and Finco notes if they are retired as part of the refinancing. Samsonite's SGL-1 speculative grade liquidity rating remains unchanged and the outlooks for Samsonite, SIPH and Finco remain stable. Samsonite is issuing a new $750 million senior secured term loan A (TLA) that matures in 2030 and a $494 million senior secured term loan B (TLB) that matures in 2032. The company is also putting in place a new $850 million senior secured revolving credit facility (RCF) that expires in 2030 to replace the existing $850 million RCF expiring in 2028 and issuing 350 million of Euro-denominated senior secured notes due 2033. The company will use proceeds from the new term loans and Euro notes, along with approximately $24 million of cash to repay the debt outstanding on the existing $760 million term loan A, $495 million term loan B, and $413 million of USD equivalent debt outstanding on the existing 350 million Euro-denominated senior notes as of June 30, 2025. Proceeds from the transaction will also pay roughly $13 million in financing costs. The new instruments will have largely the same guarantees and collateral as the existing loans and notes. There are multiple permitted borrowers under the revolver and the term loans also list Tumi, Inc. as a permitted borrower in addition to SIPH. The transaction is credit positive because it extends the maturity profile with a minimal increase in interest expense. Samsonite's SGL-1 speculative grade liquidity rating reflects very good liquidity and is supported by approximately $669 million of cash as of June 30, 2025. An expected $750 million of availability on the new revolver at close of the transaction and reported free cash flow (after cash dividends to shareholders and treating lease principal payments as an outflow reclassified to capital expenditures from the IFRS presentation in financing) of around $140 million over the next 12-18 months provide considerable liquidity to address operational cash needs and an expected $23 million of annual term loan amortization in total across the TLA and TLB. Moody's affirmed the CFR because Moody's expects credit metrics to remain strong despite softer consumer demand for luggage and travel in certain markets like the US. Samsonite's very strong market position in the luggage category and global presence help mitigate against declines in consumer travel in specific jurisdictions. The company's strong free cash flow and very good liquidity provide considerable financial flexibility to navigate cyclical changes in demand across global travel and the luggage category as well as other operating headwinds including higher input costs and tariffs. Samsonite's proposed senior secured notes due 2033, issued by Finco, have collateral consisting only of a second-priority claim on the equity of Finco and Finco's rights to an intercompany loan to Samsonite European Holdings funded with the proceeds of the notes. Because Finco is a financing subsidiary with no significant operations, Moody's do not believe the security pledged provides substantive asset value. As a result, the notes are similar in nature to unsecured obligations and the B1 rating is two notches below the Ba2 CFR because of the subordination to the credit facility. The Ba1 ratings on Samsonite's proposed secured bank credit facilities are one notch above the CFR reflecting the effective and contractual priority relative to the Finco notes. The senior secured credit facilities are guaranteed by the company's domestic and certain non-domestic operating subsidiaries and are secured on a first lien basis by substantially all the assets of Samsonite and its domestic and certain non-domestic subsidiaries. The Finco notes are guaranteed on a senior subordinated basis by Samsonite and the credit facility co-borrowers and guarantors. Marketing terms for the new credit facilities (final terms may differ materially) include the following: Incremental debt capacity up to the greater of $630 million and 100% of adjusted EBITDA, plus unused capacity reallocated from the general debt basket, plus unlimited amounts subject pro forma first lien net leverage less than or equal to 3.75x (if pari passu secured). No portion of the incremental may be incurred with an earlier maturity than the initial term loans. The credit agreement permits the transfer of assets to unrestricted subsidiaries, up to the carve-out capacities, subject to "blocker" provisions which include restrictions on the disposition (whether pursuant to a sale, exclusive license, transfer, investment, restricted payment or otherwise) of intellectual property that is material to the business of Samsonite and its restricted subsidiaries, taken as a whole, to unrestricted subsidiaries. There are no express protective provisions prohibiting an up-tiering transaction. RATINGS RATIONALE Samsonite's Ba2 CFR reflects the company's market leading position in luggage, brand strength and geographic diversification. Samsonite's profitability is expected to remain good despite ongoing headwinds from consumers economizing spending and increased costs related to tariffs. The company's focus on reducing fixed costs including streamlining the retail store base to lower lease expense in recent years has helped strengthen its adjusted EBITDA margin compared to historical levels. Moody's expects a modest decline in the EBITDA margin and debt-to-EBITDA to remain around the current 3.1x level (as of 12 months ended June 2025) over the next 12-18 months. Samsonite's products are discretionary and sensitive to declines in the economic cycle as consumers reduce spending when household income falls. Samsonite's focus on maintaining ample liquidity to navigate market slowdowns supports the credit profile though it does not fully mitigate earnings and leverage volatility. Financial policy is supportive of maintaining sufficient liquidity to manage through cycles as evidenced by the company suspending its annual cash distribution to shareholders during the pandemic and its 2.0x net leverage target (based on the company's calculation; 1.85x as of June 30, 2025). Samsonite has been operating below its leverage target creating some risk that leverage will increase over the longer term. Samsonite increased shareholders distributions in 2024 after restarting its annual cash distributions and buying back shares at least partly to reduce dilution ahead of a planned dual listing of the shares in the US. Moody's expects leverage to increase above the target level should Samsonite complete a large acquisition with the company subsequently focused on reducing leverage. Moody's expects solid annual free cash flow of roughly $140 million (after cash dividends to shareholders and treating lease principal payments as an outflow reclassified to capital expenditures from the IFRS presentation in financing). A comprehensive review of all credit ratings for the respective issuer(s) has been conducted during a rating committee. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The stable outlook reflects Moody's expectations that Samsonite will maintain good operating performance and profitability despite the softening consumer demand for luggage, slowing consumer travel in the US, and increased costs from tariffs that are expected to reduce the EBITDA margin. Moody's expects solid annual free cash flow in excess of $140 million (after cash distributions to shareholders and treating lease principal payments as an outflow reclassified to capital expenditures from the IFRS presentation in financing). Additionally, Moody's expects the company will maintain very good liquidity and continue to operate the business toward its stated net leverage target of 2.0x (based on the company's calculations) despite the recent increase in shareholder returns. Ratings may be upgraded if the travel sector returns to a period of long-term stability. An upgrade would also require a stable EBITDA margin, strong and consistent free cash flow, debt/EBITDA sustained below 3.0x and very good liquidity. Greater clarity that the company can withstand downturns in the travel cycle without material deterioration in revenue, EBITDA margin, and leverage is also necessary for an upgrade. Ratings may be downgraded if there is a material decline in profitability or operating performance such that free cash flow falls below $80 million on a sustained basis as a result of factors such as lower discretionary consumer spending, rising costs or increased competition. The rating may also be downgraded if there is a deterioration in liquidity or debt/EBITDA is sustained above 4.0x. The principal methodology used in these ratings was Consumer Durables published in September 2021. The net effect of any adjustments applied to rating factor scores or scorecard outputs under the primary methodology(ies), if any, was not material to the ratings addressed in this announcement. Samsonite is a designer, manufacturer and distributor of luggage, travel accessories and bags worldwide. Samsonite offers luggage, business, computer, outdoor and casual bags and travel accessories. Major brands include Samsonite, American Tourister and Tumi. Consolidated net sales for the 12 months ended June 30, 2025, were $3.5 billion. Samsonite is a widely held public company with listing in Hong Kong SAR, China. =========== R U S S I A =========== ORIENT FINANS: S&P Affirms 'B+/B' ICRs & Alters Outlook to Positive ------------------------------------------------------------------- S&P Global Ratings revised its outlook on Uzbekistan-based Orient Finans Bank (OFB) to positive from stable. At the same time, S&P affirmed its 'B+/B' long- and short-term issuer credit ratings on OFB. Uzbekistan-based Orient Finans Bank's (OFB's) asset quality has exceeded the system-average over the last five years, and S&P expects this will continue despite high concentrations, slower loan book growth, and the bank's planned expansion in retail loans and lending to small and midsize enterprises (SMEs). S&P said, "We also expect OFB to continue to report solid operating performance after net income increased by 15% over first-half 2025 compared with the same period in 2024, with the return on average equity exceeding 30% in annual terms. "OFB's asset quality has outperformed the system average over the past few years, and we expect this will continue over 2025-2027. Nonperforming loans (NPLs) accounted for 1.8% of the gross loan book in the first half of 2025. These include stage 3 and purchased or originated credit-impaired loans and repossessed assets held for sale in line with International Financial Reporting Standards. Although the share of NPLs is somewhat higher than the historical low of less than 1%, it is well below the system average of 7.8% (in 2024). Although we expect a moderate increase in unsecured retail and SME loans in OFB's portfolio over 2025-2027, we anticipate OFB will adhere to its cautious underwriting approach. We expect NPLs loans will remain at 1.5%-2.0% of the loan book over the next two years, well below the sector average, which we estimate will be 6.8%-7.5%. We also forecast OFB's cost of risk at 0.5%-1.0% in 2025-2027, compared with 0.6% in the first half of 2025 and the system average of 1.8%-2.0%. "We continue to view single-name and foreign currency concentrations as the bank's weakness, but this is to some extent mitigated by financial collateral. The bank's 49% loan book growth in 2024 was largely driven by one corporate loan in the oil and gas industry, which was fully secured by a cash deposit. Excluding this borrower, loan growth would have been much lower (26%), which is similar to the system average. Because that loan is backed by cash collateral, we consider that it has a limited impact on the bank's risk-adjusted capital, although, it increases concentration on the asset and liability side. OFB's 20 largest borrowers represented about 46% of its total loans and 1.7x its total adjusted capital as of midyear 2025 compared with 19% and 0.8x respectively as of year-end 2023. We view such a concentration as a material risk that can lead to volatile loan book growth or asset quality indicators. However, we expect it might decline in 2026-2027 to levels comparable with peers' following the bank's gradual expansion in SME and retail lending and the maturity of its largest loan." OFB's operating performance remains solid. The bank reported 15% net income growth in the first half of 2025 compared with 39% for the full year of 2024, supported by 37% net interest income growth and improved noninterest income, mostly due to commissions. The bank's return on average equity has consistently exceeded 30% over the past five years (31% in first-half 2025) compared with the 10%-14% system-average. Although S&P expects it may decline somewhat because of expected slowing of loan book growth, we forecast it will remain robust at about 20%-25% over the next three years. S&P said, "We expect OFB to retain strong capital buffers in 2025-2026. This will be underpinned by its robust financial performance and 85%-90% earnings retention. The bank's total adjusted capital increased by almost by 38% in 2024 due to strong earnings and recapitalization of about 90% of net income. We forecast our RAC ratio to remain sustainably above 10% in the next 18-24 months after 13.9% in 2024. This is based on our expectation that the bank's loan growth will decelerate to 15%-20% in 2025-2027 (loans increased by 3% in the first half of 2025) from about 50% on average over the past three years, owing to deceleration in corporate lending. We forecast its net interest margin will remain strong at 9.0%-10.0%, supported by still-high interest rates and an anticipated increase in the share of higher-margin retail and SME loans. We also assume dividends of 10%-15% of net income." The positive outlook indicates a one-in-three likelihood of an upgrade within the next 12-18 months. S&P said, "We could revise the outlook to stable if, contrary to our expectations, we observe material deterioration of OFB's asset quality or capitalization, driven, for example, by its fast expansion into new or riskier lending segments or higher-than-expected dividends. "We could raise the ratings over the next 12-18 months if the bank's asset quality metrics remain significantly better than the market average, and our forecast RAC ratio remains sustainably above 10%. An upgrade will also depend on a track record of profitable growth, with the bank's creditworthiness and overall risk profile staying consistent with that of higher-rated peers." TRUSTBANK: S&P Affirms 'B+/B' ICRs on Resilient Performance ----------------------------------------------------------- S&P Global Ratings affirmed its 'B+/B' long- and short-term issuer credit ratings on Uzbekistan-based PJSB Trustbank. The outlook is stable. PJSB Trustbank has reported higher than-average profitability, with its return on average assets reaching 6.6% during first-half 2025, supported by the low cost of funds. This is despite cost of risk rising to 2.9% over the same period compared with 1.1% in 2024, due to some deterioration in the retail loan book. S&P said, "We expect Trustbank to retain higher-than-average profitability despite the pickup in credit costs. Servicing the Uzbek Commodity Exchange (UZEX) is the backbone of Trustbank's operations, which, given the high-interest-rate environment in Uzbekistan, allows the bank to earn a sizable spread in short-term placements with the central bank and short-term government bonds. Meanwhile, lower interest rates--we forecast some slowdown of inflation by 2028--and a higher share of renumerated deposits will slightly pressure net interest margins in 2025-2027. Still, we believe Trustbank will outperform most, if not all, its domestic peers in terms of return on assets, with a projected return on average assets in excess of 5.5%. This is despite our projections of elevated cost of risk, which reached 2.9% over the first half of 2025 compared with 1.1% in 2024." The bank's retail portfolio quality has begun to deteriorate over 2025. Stage 3 loans reached 3% by mid-2025 while stage 2 loans hit 7%, a high level in an international context. S&P understands that low payment discipline among borrowers historically has not resulted in outsized credit losses and the data signals there may have been to some improvement in past due exposures by the end of third-quarter 2025. Moreover, Trustbank is focusing on minimizing losses from defaults by employing credit insurance mechanisms. Still, S&P considers rapid growth in retail (about 37% annualized over the first nine months of 2025) to be a risk factor, further aggravated by less advanced scoring models compared with regional benchmarks. S&P said, "We expect Trustbank's capital ratios to stay strong over the next 12-18 months. We project the risk-adjusted capital ratio to remain within 13.0%-13.5%, slightly below 13.8% observed at year-end 2024. This largely reflects our projections of faster credit growth (25%-27% in 2025-2027) as we understand the bank is keen to utilize its capital buffers beyond the currently observed regulatory ratios. Our projections incorporate some deterioration of interest margins, to 14.0% by 2027 from 16.7% in 2024, which will nevertheless remain exceptionally high. Our base-case scenario assumes the bank will maintain its cost of risk below 3%. "The stable outlook reflects our view that Trustbank's solid capital buffer and earnings capacity will support its credit standing over the next 12 months. Our base-case assumption is that the bank will maintain exclusive relationships with UZEX and its participants, resulting in lower funding costs and supporting better margins than peers'. The outlook also captures our expectation that the bank's liquidity position will remain stable and continue to adequately cover short-term funding needs. "We could take a negative rating action if there is any sign of deterioration in Trustbank's relationship with UZEX and its participants that hinders the bank's business stability. A potential significant decline in capitalization, either due to higher-than-expected growth in exposures or large dividend distributions, could also lead us to revise the outlook to negative or lower the rating. "We are unlikely to take a positive rating action over the next 12 months. Over the longer term, we could take a positive rating action if Trustbank builds on its track record of exemplary profitability while achieving stable quality of its loan portfolio. An upgrade would also hinge on the bank diversifying beyond its core UZEX business." ========= S P A I N ========= CLAVEL 4: Fitch Assigns 'B-sf' Final Rating on Class F Notes ------------------------------------------------------------ Fitch Ratings has assigned Clavel Residential 4 DAC (Clavel 4) final ratings. Entity/Debt Rating Prior ----------- ------ ----- Clavel Residential 4 DAC Class A XS3186943620 LT AAAsf New Rating AAA(EXP)sf Class B XS3186943893 LT AA-sf New Rating AA-(EXP)sf Class C XS3186943976 LT A-sf New Rating A-(EXP)sf Class D XS3186944198 LT BBB-sf New Rating BBB-(EXP)sf Class E XS3186944271 LT BB-sf New Rating BB-(EXP)sf Class F XS3186944354 LT B-sf New Rating B-(EXP)sf Class RFN XS3186944438 LT NRsf New Rating NR(EXP)sf Class X XS3186944784 LT NRsf New Rating NR(EXP)sf Class Z1 XS3186944511 LT NRsf New Rating NR(EXP)sf Class Z2 XS3186944602 LT NRsf New Rating NR(EXP)sf Transaction Summary Clavel 4 is a cash flow securitisation of a static pool of legacy first-lien residential mortgages originated and serviced in Spain by multiple entities. It includes the refinancing of Clavel Residential 3 DAC (Clavel 3), a Spanish RMBS that closed in 2023. KEY RATING DRIVERS Previously Securitised Loans: About 92% of the portfolio balance comes from Clavel 3, which was paid in full on 28 October 2025. The remaining 8% is linked to similar residential mortgages originated by several Spanish banks that have comparable loan features, particularly a high share of restructurings. High Expected Foreclosure Frequency: Its foreclosure frequency (FF) expectation on the non-defaulted portfolio, at 46.7% for the 'AAAsf' rating case, is comparable with other Spanish reperforming RMBS transactions. It reflects that 93.6% of the pool has been restructured and 15.6% has more than three missed monthly instalments, for which Fitch has applied an FF rate of 100% under the 'AAAsf' scenario. In addition, 24.5% of the restructured loans have less than 12 months of clean payment history. About 7.4% of the portfolio is classified as defaulted (defined as loans with more than 12 missed monthly instalments) with no material borrower re-engagement strategies in place. For these loans, Fitch assigned a 100% FF expectation under its base case and quantified the recovery rate in line with its rating criteria. Mezzanine Notes Projected Interest Deferrals: Fitch expects the class B to F notes to defer interest for between eight and 15 years in their respective rating scenarios. Under the 'CCCsf' rating case, deferrals are only expected for the class E and F notes. These deferrals are permitted by transaction terms and do not constitute an event of default. Consistent with Fitch's Global Structured Finance Rating Criteria, the rating analysis reflects that any interest deferrals are projected to be fully recovered by the legal maturity date, that they are a common structural feature in Spanish RMBS, and that the transaction's documentation includes a defined mechanism for the repayment of deferred amounts. Transaction Adjustment: Fitch has applied a 1.5x transaction adjustment to the FF on the non-defaulted portfolio to reflect its general assessment of the pool, based on historical performance data and the servicing strategies for restructured loans. Criteria Variations: Fitch has not accounted for further drawdowns on multi-credit loan agreements within its rating analysis, reflecting the residual amounts of further drawdowns since 2015. The absence of further drawdowns to date is most likely due to the stringent conditions for application, which discourage debtors from requesting further advances. Fitch has not applied the 1.2x FF adjustment defined under its European RMBS Rating Criteria for long-tenor loans as this risk is sufficiently captured by the restructuring FF adjustment. The combined impact of the two variations is a single-notch uplift for the class A notes. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Credit enhancement ratios unable to fully compensate the credit losses and cash flow stresses associated with the current ratings, all else being equal, will result in downgrades. For example, a 15% increase in the weighted average FF rates and a 15% decrease in weighted average recovery rates would lead to a one-category downgrade for the class A notes and at least two-category downgrades for the rest of the notes. Weaker-than-expected performance of restructured loans, especially those in a grace period, or weaker-than-expected recovery cash flows on defaults would also lead to downgrades. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increased credit enhancement ratios as the transaction deleverages to fully compensate for the credit losses and cash flow stresses commensurate with higher ratings would result in upgrades. CRITERIA VARIATION Fitch has not accounted for further drawdowns on multi-credit agreements, which represent around 15% of the non-defaulted portfolio balance, within its rating analysis, reflecting the zero or residual instances of further drawdowns registered since April 2015. The absence of further drawdowns to date is most likely due to the stringent conditions for application that discourage debtors from requesting further advances. Of the non-defaulted pool, around 71% has an original term to maturity greater than 366 months (i.e. 30.5 years). As the term to maturity for most of these loans was extended as part of the restructuring arrangements, Fitch did not apply the 1.2x FF specifically defined under its European RMBS Rating Criteria for long tenor loans as this is sufficiently captured by the application of restructuring FFAs. The model-implied rating impact of the two criteria variations is a one-notch uplift for the class A notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Clavel Residential 4 DAC Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, and concluded that there were no findings that affected the rating analysis. Fitch conducted a review of a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. =========== S W E D E N =========== ANTICIMEX GLOBAL: Moody's Rates New Term Loan B3, Outlook Stable ---------------------------------------------------------------- Moody's Ratings has affirmed the B3 long-term corporate family rating of Anticimex Global AB (Anticimex or the company) and its B3-PD probability of default rating, following the proposed amend and extend (A&E) transaction of its backed senior secured bank credit facilities. Concurrently, Moody's have assigned B3 instrument ratings to the proposed amended and extended backed senior secured term loan B (TLB) of SEK30 billion (equivalent) borrowed by Anticimex Global AB, Anticimex International AB, Anticimex Inc. and Anticimex Pty Ltd. and an around SEK4.1 billion backed senior secured revolving credit facility (RCF) borrowed by Anticimex Global AB all due in 2031. The outlook on all entities is stable. The proposed transaction will extend the maturity of its existing backed senior secured TLB, senior secured TLB and senior secured RCF by 3 years and upsize its TLB by SEK1.5 billion (equivalent). The upsize will be used to repay the SEK630 million drawn RCF, add cash on balance sheet and cover transaction fees and associated expenses. The transaction is broadly leverage neutral, with its pro-forma Moody's adjusted debt/EBITDA marginally increasing by 0.2x to 7.3x in 2024. Moody's will withdraw the ratings on the existing backed senior secured TLBs, senior secured TLB and senior secured RCF due 2028 upon completion of the transaction. RATINGS RATIONALE The rating action reflects Anticimex's track record of earnings growth and stable margins, which has supported the continued deleveraging since the peak in 2021, and its good liquidity profile underpinned by consistent positive free cash flow (FCF, Moody's-adjusted). It also reflects Moody's expectations that the company will continue to increase its earnings over the next 12-18 months, supporting a deleveraging to 6.5x while improving its interest coverage towards 2.0x, positioning the company strongly within the B3 rating. Over 2021 – 2024 period, Anticimex maintained an EBITA margin (Moody'-adjusted) above 19% through the cycle while growing its topline by around 13% CAGR through a combination of organic and inorganic drivers. The stable profitability and steady growth have helped Anticimex reduce its gross leverage (Moody's-adjusted) to 7.1x at the end of 2024 from very high levels of 9.6x in 2021. As of June 2025, the company continued to deliver a solid operating performance with last twelve months (LTM) June 2025 revenues up by around 8.5% on constant-currency basis and the company's LTM June 2025 pro forma adjusted EBITDA increasing to SEK4,821 from around SEK4,520 billion as of LTM June 2024. As a result, Moody's forecasts Moody's adjusted leverage to decline slightly below 7x in 2025 and to around 6.5x in 2026. Moody's also views positively the maturity extension of the facilities to 2031 from 2028 as well as potential repricing of its TLB, which should reduce its interest costs and further improve its solid cash generation ability. However, the ratings remain constrained by Anticimex's still high Moody's-adjusted leverage. The degree to which the company can reduce its financial leverage is sensitive to its M&A-driven growth appetite and financial policy. While Anticimex has proven its ability to successfully integrate these acquisitions, thereby improving its earnings base, the company is not immune to potential integration challenges which could disrupt operations. In addition, the company's M&A spent has exceeded its FCF generation over the past years, resulting also in growing amounts of debt. Anticimex ratings continue to benefit from a strong and geographically diversified foothold in the preventive pest control industry, which is further bolstered by its diversified customer base with low concentration and good customer retention rate. Additionally, the company benefits from a high share of recurring revenue and favorable long-term market fundamentals driven by mega-trends such as urbanization, climate change, and more stringent regulations. OUTLOOK The stable outlook reflects Moody's expectations that Anticimex will continue to grow its earnings supporting a deleveraging to 6.5x over the next 12-18 months while improving its interest coverage towards 2.0x. The outlook also reflects Moody's expectations that the company will maintain a good liquidity with continued positive FCF and refrain from making any distributions to shareholders or large debt-funded acquisitions. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Positive rating pressure could arise if: -- Moody's-adjusted debt/EBITDA declines to below 6.5x on a sustained basis, -- Moody's-adjusted EBITA/interest improves to 2.0x, -- Moody's-adjusted retained cash flow/net debt exceeds 10% on a sustained basis and -- maintains a good liquidity. Negative rating pressure could arise if: -- Moody's-adjusted debt/EBITDA increases to levels that could challenge future refinancing prospects or indicate an unsustainable capital structure over time, -- Moody's-adjusted EBITA/interest remains below 1.5x on a sustained basis, -- liquidity weakens substantially as a result of overly aggressive M&A activity, negative FCF, or shareholder distributions. LIQUIDITY Proforma for the transaction, Moody's expects Anticimex to maintain a good liquidity, underpinned by around SEK2.4 billion unrestricted cash on balance sheet and around SEK4.1 billion availability under the sizeable undrawn RCF. The company maintains ample headroom under its springing net senior secured first lien leverage (at maximum 11.5x, to be tested in each quarter end if RCF drawings excluding cash and acquisition up to 35% of RCF exceed more than 40% of total committed RCF). Over the next 12 months-18 months, Moody's expects Moody's-adjusted FCF to remain positive. Moody's anticipates the company to continue with its accretive M&A strategy, which will be partially funded with positive FCF generation, but might also require some drawings under the RCF. STRUCTURAL CONSIDERATIONS Proforma for the contemplated transaction, Anticimex's new capital structure will consist of a SEK30 billion equivalent six-year backed senior secured TLB and an around SEK4.1 billion backed senior secured undrawn RCF. The term loans and RCF rank pari passu as per the facility agreements and are rated B3 in line with the CFR. The facilities share the same security package consisting mainly of share pledges as well as material intra-group receivables; these are guaranteed by a group of companies accounting for at least 80% of consolidated EBITDA. The B3-PD probability of default rating is on par with the company's CFR, reflecting the use of a standard 50% recovery rate as is customary for capital structures with first-lien bank loans and covenant-lite documentation. LIST OF AFFECTED RATINGS Issuer: Anticimex Global AB Assignments: Backed Senior Secured Bank Credit Facility (Local Currency), Assigned B3 Backed Senior Secured Bank Credit Facility (Foreign Currency), Assigned B3 Affirmations: Probability of Default Rating, Affirmed B3-PD LT Corporate Family Rating, Affirmed B3 Outlook Actions: Outlook, Remains Stable Issuer: Anticimex Inc. Assignments: Backed Senior Secured Bank Credit Facility (Local Currency), Assigned B3 Outlook Actions: Outlook, Remains Stable Issuer: Anticimex International AB Assignments: Backed Senior Secured Bank Credit Facility (Local Currency), Assigned B3 Outlook Actions: Outlook, Assigned Stable Issuer: Anticimex Pty Ltd. Assignments: Backed Senior Secured Bank Credit Facility (Local Currency), Assigned B3 Outlook Actions: Outlook, Remains Stable PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Business and Consumer Services published in November 2021. The B3 rating is currently two notches below the B1 scorecard indicated outcome. The difference primarily reflects Anticimex's high leverage with the deleveraging pace dependent on its M&A-driven growth appetite and relatively weak interest coverage metrics. CORPORATE PROFILE Headquartered in Stockholm, Anticimex is a provider of preventive pest control services. The company operates 234 branches in 22 countries across Europe, North and Latin America, and Asia-Pacific. In 2024, the company generated around SEK16.9 billion of revenue and around SEK4.7 billion of company-adjusted pro forma EBITDA in 2024. HEIMSTADEN AB: S&P Assigns 'B-' ICR, Outlook Remains Negative ------------------------------------------------------------- S&P Global Ratings affirmed its 'B-'long-term issuer credit rating and negative outlook on Heimstaden AB. S&P's also affirmed its 'B' issue-level rating and '2' recovery rating for the company's senior unsecured notes, reflecting our expectation of approximately 85% recovery in the event of a payment default. Furthermore, S&P affirmed its 'D' (default) ratings on both the company's euro hybrid subordinated notes (with no equity content) and its Swedish krona hybrid subordinated notes (with intermediate equity content). The negative outlook on Heimstaden AB reflects the risk that S&P could downgrade the company in the next three to six months if the company is not able to secure sufficient funding to cover its liquidity needs or if cash flow generation remains insufficient to support its debt service obligations. S&P said, "In our view, Heimstaden AB's liquidity headroom will remain tight over an 18 month period. Although the company has sufficient liquidity sources to cover needs for the next 12 months, we think that its upcoming debt servicing capacity (interest payment) and committed capex in the next 18 months requiring further funding activities to support its liquidity needs given we expect negative FFO to continue. As of Sept. 30, 2025, the company held approximately SEK 1.4 billion in unrestricted cash and cash equivalents, which would cover upcoming debt maturities of Swedish krona (SEK) 274 million and expected interest payments on its senior unsecured and secured debt of approximately SEK610 million-SEK630 million and contractual capex of SEK450 million-SEK500 million for the next 12 months. However, liquidity will become constrained if Heimstaden AB does not take sufficient steps to secure funding in the next three to six months as we see some risk when SEK700 million-SEK750 million of debt servicing coming and capex needs of about SEK100 million-SEK110 million due in the first quarter of 2027. We understand that Heimstaden AB intends to dispose of directly held real estate assets over the next few quarters to improve its capacity to service debt and associated payments for the near term and we will closely monitor its successful execution. In addition, we understand that the company's incurrence covenant remains breached and restricts Heimstaden AB to raise new debt. "We think that Heimstaden AB's uncertain cash flow stability and weaker financial ratios continue to exert pressure. Since February 2024, Heimstaden Bostad AB (Heibos) has suspended dividends on all share classes to safeguard its 'BBB-' rating, significantly reducing cash flow available to Heimstaden AB. We think the likelihood of dividend resumption within the next 12-24 months is limited, as Heibos relies on maintaining sufficient headroom under its existing credit rating ratio triggers. Consequently, we forecast that Heimstaden AB will continue to post weak EBITDA interest coverage, well below 1.0x, for 2025 and 2026. Our forecast assumes that dividends from investees and subsidiaries will remain suspended over the medium term, resulting in persistently weak cash inflows. "We continue to reflect a six-notch differential between our 'B-' long-term issuer credit rating on Heimstaden AB and our 'BBB-' long-term issuer credit rating on Heibos . This notching differential primarily reflects the structural subordination of distributions Heimstaden AB receives from Heibos, which it does not directly control due to the protections outlined in the shareholders' agreement. It also accounts for differences in cash flow stability, corporate governance and financial policy, financial ratios, and Heimstaden AB's limited ability to liquidate its investments. We rate Heimstaden AB using our noncontrolling equity interest criteria ("Methodology For Companies With Noncontrolling Equity Interests," Jan. 5, 2016), which we use to rate debt instruments issued by entities that own shares in one or more other entities with no direct control. "We maintained our 'D' (default) rating on the Swedish krona and euro subordinated hybrid notes. This is because the company is currently deferring coupon payments to conserve cash, and we expect the deferral to continue for at least the next 12 months. We assess the Swedish krona hybrid instrument as having intermediate equity content, supported by its long residual time to effective maturity date. We consider hybrids rated in the 'B' category or below to have intermediate equity content if there are at least 10 years before their effective maturity date. We assign no equity content to its euro hybrid bond because the effective maturity is below 10 years. "The negative outlook on Heimstaden AB reflects the risk that we could downgrade the company in the next three to six months if the company is not able to secure sufficient funding to cover its liquidity needs or if cash flow generation remains insufficient to support its debt service obligations." S&P could lower the rating on Heimstaden AB if: -- It is unable to secure sufficient liquidity sources over the next three to six months, creating a liquidity shortfall; and -- Headroom under its maintenance covenants gets tighter and breach of its incurrence covenants continues over the medium term, leading to operational consequences for the company. S&P could revise the outlook on our rating on Heimstaden AB to stable if: -- Heimstaden AB has proactively managed its liquidity position with securing sufficient funding sources to cover its debt servicing obligations and any near-term debt maturities; and -- The company manages to restore headroom under its financial incurrence covenants and maintains sufficient headroom under its maintenance covenants. =========================== U N I T E D K I N G D O M =========================== AGILITAS IT: Alvarez & Marsal Named as Administrators ----------------------------------------------------- Agilitas It Solutions Limited was placed into administration proceedings in the High Court of Justice, Business and Property Courts in Manchester, Insolvency and Companies List (ChD), No CR-CR-2025-MAN-001428, and Robert Croxen and Michael Magnay and of Alvarez & Marsal Europe LLP were appointed as administrators on Oct. 23, 2025. Agilitas It Solutions engaged in business support service activities. Its registered office and principal trading address is at Solutions House, 6 Glaisdale Parkway, Nottingham, NG8 4GP The joint administrators can be reached at: Robert Croxen Michael Magnay Alvarez & Marsal Europe LLP Suite 3, Avery House 69 North Street Brighton BN41 1DH Tel No: +44(0)20-7715-5200 For further details, contact: Dan Turner Alvarez & Marsal Europe LLP Email: INS_AGITSL@alvarezandmarsal.com Tel No: +44(0)-20-7715-5223 AVON FINANCE NO. 3: S&P Affirms 'B-(sf)' Rating on Cl. F-Dfrd Notes ------------------------------------------------------------------- S&P Global Ratings raised its credit ratings on Avon Finance No. 3 PLC's class B notes to 'AA+ (sf)' from 'AA (sf)', C-Dfrd notes to 'AA- (sf)' from 'A+ (sf)', D-Dfrd notes to 'A (sf)' from 'A- (sf)', and X-Dfrd notes to 'B (sf)' from 'CCC (sf)'. At the same time, S&P affirmed its 'AAA (sf)' rating on the class A notes, its 'BB+ (sf)' rating on the E-Dfrd notes, and its 'B- (sf)' rating on the F-Dfrd notes. The rating actions reflect the paydown of the class A notes since S&P's October 2024 review, which led to an increase in credit enhancement for all rated notes. Total loan-level arrears have decreased to 19.60% as of July 2025 from 21.33% in the previous review. 90+ days arrears have marginally increased to 13.39% from 13.13% over the same period. Arrears are currently below S&P's U.K. nonconforming index for pre-2014 originations. Cumulative losses have increased to 0.22% from 0.07% in the previous review. S&P said, "Since our previous review, our weighted-average foreclosure frequency assumptions have increased at all rating levels. This increase is driven by the higher weighted-average indexed effective loan to value (LTV) and the larger proportion of loans receiving our reperforming adjustment. As of July 2025, the weighted-average indexed current loan to value (LTV) is 45.78%, an increase of 0.97 percentage points compared with the previous review. Updates to our under- and overvaluation assessments for the U.K. residential real estate market have also reduced our weighted-average loss severity assumptions." Portfolio WAFF and WALS Rating level WAFF (%) WALS (%) Credit coverage (%) AAA 43.71 14.95 6.53 AA 37.43 9.83 3.68 A 33.95 3.63 1.23 BBB 30.14 2.00 0.60 BB 26.00 2.00 0.52 B 24.95 2.00 0.50 WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. Counterparty, operational, and legal risks do not constrain the ratings on the notes. S&P said, "Our credit and cash flow results indicate that the available credit enhancement for the class A and E-Dfrd notes remains commensurate with the assigned ratings. We therefore affirmed our 'AAA (sf)' and 'BB+ (sf)' ratings, respectively. "Our cash flow analysis indicates that the class B, C-Dfrd, D-Dfrd, and X-Dfrd notes can withstand stresses commensurate with ratings higher than those previously assigned. However, we limited our upgrades of these notes, considering their sensitivity to higher defaults levels, extended recovery timings, and increased prepayment levels. We therefore raised the rating on the class B notes to 'AA+ (sf)' from 'AA (sf)', the rating on the class C-Dfrd notes to 'AA- (sf)' from 'A+ (sf)', the rating on the class D-Dfrd notes to 'A (sf)' from 'A- (sf)', and the rating on the class X-Dfrd notes to 'B (sf)' from 'CCC (sf)'. "The class F-Dfrd notes face shortfalls under our standard cash flow analysis at the 'B' rating level. "Therefore, we applied our 'CCC' criteria to assess if either a rating of 'B-' or a rating in the 'CCC' category would be appropriate. Our 'CCC' rating criteria specify the need to assess whether there is any reliance on favourable business, financial, and economic conditions to meet the payment of interest and principal. "In our steady state scenario, we decreased our prepayment assumptions in our 'high' interest rate scenario based on the observed prepayment level, stressed actual fees in our cash flow analysis, and did not apply spread compression, basis risk, or standard variable rate haircuts at the 'B' rating level. "In the steady state scenario, where the current stress level shows little to no increase and collateral performance remains steady, the class F-Dfrd notes pass our 'B' cash flow stresses. "Therefore, in our view, payment of interest and principal on the class F-Dfrd notes does not depend on favourable business, financial, and economic conditions. We therefore affirmed our 'B- (sf)' rating on the class F-Dfrd notes." Macroeconomic forecasts and forward-looking analysis S&P said, "We expect U.K. inflation to remain above the Bank of England's 2% target in 2025 and anticipate a rise in U.K. house prices of about 4%. Although high inflation is overall credit negative for all borrowers, inevitably some borrowers will be more negatively affected than others, and to the extent inflationary pressures materialize more quickly or more severely than currently expected, risks may emerge. "Given our current macroeconomic forecasts and forward-looking view of the U.K. residential mortgage market, we have performed sensitivities related to higher levels of defaults due to increased arrears and extended recovery timing due to observed delays to repossession owning to court backlogs in the U.K. and the repossession grace period announced by the U.K. government under the Mortgage Charter. The notes remained robust to these sensitivities." Avon Finance No. 3 is backed by a pool of U.K. legacy non-conforming owner-occupied and buy-to-let mortgages originated by GMAC-RFC Ltd. and Platform Funding Ltd. AVON FINANCE NO. 4: S&P Affirms 'CCC(sf)' Rating on X-Dfrd Notes ---------------------------------------------------------------- S&P Global Ratings raised its credit ratings on Avon Finance No. 4 PLC's class B notes to 'AA+ (sf)' from 'AA (sf)' and C-Dfrd notes to 'A+ (sf)' from 'A (sf)'. At the same time, S&P affirmed its 'AAA (sf)', 'BBB (sf)', 'B- (sf), 'CCC (sf)', 'CCC- (sf)', and 'CCC (sf)' ratings on the class A, D-Dfrd, E-Dfrd, F-Dfrd, G-Dfrd, and X-Dfrd notes, respectively. The rating actions reflect the paydown of the class A notes since our October 2024 review, which led to an increase in credit enhancement for all rated notes. Total loan-level arrears have marginally increased to 21.49% as of May 2025 from 21.348% in the previous review. 90+ days arrears have marginally decreased to 14.40% from 14.49% over the same period. Arrears are currently below S&P's U.K. nonconforming index for pre-2014 originations. Cumulative losses have increased to 0.18% from 0.08% in the previous review. S&P said, "Since the previous review, our weighted-average foreclosure frequency assumptions have increased at all rating levels. This increase is driven by the higher weighted-average indexed effective loan to value (LTV) and the larger proportion of loans in the portfolio receiving a 100% foreclosure frequency. As of May 2025, the weighted-average indexed current LTV is 46.01%, an increase of 0.49 percentage points compared with the previous review. Updates to our under- and overvaluation assessments for the U.K. residential real estate market have also reduced our weighted-average loss severity assumptions." Portfolio WAFF and WALS Rating level WAFF (%) WALS (%) Credit coverage (%) AAA 44.65 16.14 7.21 AA 38.69 10.94 4.23 A 35.40 4.45 1.57 BBB 31.60 2.27 0.72 BB 27.49 2.00 0.55 B 26.46 2.00 0.53 WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. Counterparty, operational, and legal risks do not constrain the ratings on the notes. S&P said, "Our credit and cash flow results indicate that the available credit enhancement for the class A notes remains commensurate with the assigned rating. We therefore affirmed our 'AAA (sf)' rating. "Our cash flow analysis indicates that the class B, C-Dfrd, and D-Dfrd notes can withstand stresses commensurate with ratings higher than those previously assigned. However, we limited our upgrades on the class B and C-Dfrd notes, considering their sensitivity to higher default levels, extended recovery timings, and increased prepayment levels. We therefore raised our rating on the class B notes to 'AA+ (sf)' from 'AA (sf)' and our rating on the class C-Dfrd notes to 'A+ (sf)' from 'A (sf)'. We affirmed our 'BBB (sf)' rating on the class D-Dfrd notes. "The class E-Dfrd, F-Dfrd, G-Dfrd, and X-Dfrd notes face shortfalls under our standard cash flow analysis at the 'B' rating level. "Therefore, we applied our 'CCC' criteria to assess if either a rating of 'B-' or a rating in the 'CCC' category would be appropriate. Our 'CCC' rating criteria specify the need to assess whether there is any reliance on favourable business, financial, and economic conditions to meet the payment of interest and principal. "In our steady state scenario, we decreased our prepayment assumptions in our 'high' interest rate scenario based on the observed prepayment level, stressed actual fees in our cash flow analysis, and did not apply spread compression or basis risk. "In the steady state scenario, where the current stress level shows little to no increase and collateral performance remains steady, the class E-Dfrd notes pass our 'B' cash flow stresses. Therefore, in our view, payment of interest and principal on the class E-Dfrd notes does not depend on favourable business, financial, and economic conditions. We therefore affirmed our 'B- (sf)' rating on the class E-Dfrd notes. "The class F-Dfrd, G-Dfrd, and X-Dfrd notes do not pass our 'B' cash flow stresses in the steady state scenario. Therefore, in our view, payment of interest and principal on the class F-Dfrd to X-Dfrd notes does depend on favorable business, financial, and economic conditions. We therefore affirmed our 'CCC (sf)' rating on the class F-Dfrd notes, our 'CCC- (sf)' rating on the class G-Dfrd notes, and our 'CCC (sf)' rating on the class X-Dfrd notes." Macroeconomic forecasts and forward-looking analysis S&P said, "We expect U.K. inflation to remain above the Bank of England's 2% target in 2025 and anticipate a rise in U.K. house prices of about 4%. Although high inflation is overall credit negative for all borrowers, inevitably some borrowers will be more negatively affected than others, and to the extent inflationary pressures materialize more quickly or more severely than currently expected, risks may emerge. "Given our current macroeconomic forecasts and forward-looking view of the U.K. residential mortgage market, we have performed sensitivities related to higher levels of defaults due to increased arrears and extended recovery timing due to observed delays to repossession owning to court backlogs in the U.K. and the repossession grace period announced by the U.K. government under the Mortgage Charter. The notes remained robust to these sensitivities." Avon Finance No. 4 is backed by a pool of U.K. legacy non-conforming owner-occupied and buy-to-let mortgages originated by GMAC-RFC Ltd. and Platform Funding Ltd. DOWSON 2025-1: Fitch Assigns 'B-(EXP)sf' Rating on Two Tranches --------------------------------------------------------------- Fitch Ratings has assigned Dowson 2025-1 plc expected ratings. The assignment of final ratings is contingent on the receipt of final documents conforming to information already received. Entity/Debt Rating ----------- ------ Dowson 2025-1 plc Class A XS3216856172 LT AAA(EXP)sf Expected Rating Class B XS3216858038 LT AA+(EXP)sf Expected Rating Class C XS3216859358 LT A+(EXP)sf Expected Rating Class D XS3216862659 LT A-(EXP)sf Expected Rating Class E XS3216865918 LT BBB(EXP)sf Expected Rating Class F XS3216873185 LT B-(EXP)sf Expected Rating Class X1 XS3216878069 LT B-(EXP)sf Expected Rating Class X2 XS3216878903 LT NR(EXP)sf Expected Rating Transaction Summary Dowson 2025-1 is a static securitisation of auto loan receivables originated by Oodle Financial Services Limited in the UK. The portfolio consists of hire purchase (HP) loans, financing predominantly used vehicles. KEY RATING DRIVERS Assumptions Reflect Non-Prime Pool: The transaction is backed by a pool of predominantly of non-prime auto loans, as underlined by the pool's high weighted average annual percentage rates and loan-to-value (LTV) ratios. About 44% of the pool has over 100% original LTV, highlighting increased credit risk relative to prime UK auto ABS transactions. Fitch has applied a higher base-case lifetime default rate of 16.6% to the blended portfolio, reflecting the historical performance data provided by Oodle and the non-prime composition of the pool. A blended multiple of 3.03x has been applied to the 'AAAsf' default base case, taking into account the high base-case default rate and other relevant factors. Fitch's recovery base case assumption is 55%, subject to a haircut of 50% for the'AAAsf' rating. Used-Car Price Exposure: Loans regulated by the Consumer Credit Act provide obligors with voluntary termination (VT) rights, allowing them to return the vehicle before maturity. The issuer is exposed to the risk of declines in used-car prices as proceeds from the sale of returned vehicles may be lower than the outstanding loan balance. Fitch assumed a total VT loss of 4.2% at 'AAAsf. The assumed VT losses are smaller than prime UK auto ABS transactions, given its high default base case. Hybrid Pro Rata Redemption: The class A to F notes will amortise sequentially from closing until the class A notes' support ratio — defined as one minus the ratio of the class A outstanding principal balance to the performing portfolio principal balance — reaches 38%. Thereafter, all the notes will amortise pro rata if no sequential amortisation event has occured. Sequential amortisation events are linked to performance triggers such as principal deficiency ledger or cumulative defaults exceeding certain thresholds. Fitch views these triggers as robust enough to prevent the pro rata mechanism from continuing following early signs of performance deterioration. Fitch believes the tail risk posed by the pro rata pay-down is mitigated by the mandatory switch to sequential amortisation when the note balance falls below 10% of the initial balance. PIR May Constrain Junior Notes: Payment interruption risk (PIR) is mitigated for the class A and B notes through the presence of a dedicated liquidity reserve. In contrast, the class C to F notes do not benefit from full liquidity protection, as the reserve designated to cover interest shortfalls for these tranches may be depleted by losses arising from all class notes. Nevertheless, the presence of a declaration of trust in favour of the issuer, alongside the collection account bank (HSBC Bank plc; AA-/Stable) holding funds for no longer than two business days, mitigates PIR up to the 'Asf' category. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Expected ratings (class A/B/C/D/E/F/X1): 'AAA(EXP)sf'/ 'AA+(EXP)sf'/ 'A+(EXP)sf'/ 'A-(EXP)sf'/'BBB(EXP)sf'/ 'B-(EXP)sf'/ 'B-(EXP)sf' Sensitivity to Increased Defaults: Increase defaults by 10%: 'AA+(EXP)sf'/ 'AA(EXP)sf'/ 'A+(EXP)sf'/ 'A-(EXP)sf'/ 'BBB(EXP)sf'/ 'CCC(EXP)sf'/ 'CCC(EXP)sf' Increase defaults by 25%: 'AA+(EXP)sf'/ 'AA-(EXP)sf'/ 'A(EXP)sf'/ 'BBB+(EXP)sf'/ 'BBB-(EXP)sf'/ 'CCC(EXP)sf'/ 'NR(EXP)sf' Increase defaults by 50%: 'AA-(EXP)sf'/ 'A(EXP)sf'/ 'BBB+(EXP)sf'/ 'BBB-(EXP)sf'/ 'BB(EXP)sf'/ 'NR(EXP)sf'/ 'NR(EXP)sf' Sensitivity to Reduced Recoveries: Reduce recoveries by 10%: 'AAA(EXP)sf'/ 'AA(EXP)sf'/ 'A+(EXP)sf'/ 'A(EXP)sf'/ 'BBB(EXP)sf'/ 'CCC(EXP)sf'/ 'CCC(EXP)sf' Reduce recoveries by 25%: 'AAA(EXP)sf'/ 'AA(EXP)sf'/ 'A+(EXP)sf'/ 'A-(EXP)sf'/ 'BBB(EXP)sf'/ 'CCC(EXP)sf'/ 'NR(EXP)sf' Reduce recoveries by 50%: 'AA+(EXP)sf'/ 'AA-(EXP)sf'/ 'A(EXP)sf'/ 'BBB+(EXP)sf'/ 'BB+(EXP)sf'/ 'NR(EXP)sf'/ 'NR(EXP)sf' Sensitivity to Increased Defaults and Reduced Recoveries: Increase defaults by 10%, reduce recoveries by 10%: 'AA+(EXP)sf'/ 'AA-(EXP)sf'/ 'A+(EXP)sf'/ 'A-(EXP)sf'/ 'BBB-(EXP)sf'/ 'CCC(EXP)sf'/ 'NR(EXP)sf' Increase defaults by 25%, reduce recoveries by 25%: 'AA(EXP)sf'/ 'A+(EXP)sf'/ 'A-(EXP)sf'/'BBB(EXP)sf'/'BB+(EXP)sf'/ 'NR(EXP)sf'/ 'NR(EXP)sf' Increase defaults by 50%, reduce recoveries by 50%: 'A(EXP)sf'/ 'BBB(EXP)sf'/'BBB-(EXP)sf'/ 'BB(EXP)sf'/ 'NR(EXP)sf'/ 'NR(EXP)sf'/'NR(EXP)sf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Sensitivity to Reduced Defaults and Increased Recoveries: Reduce defaults by 10%, increase recoveries by 10%: 'AAA(EXP)sf'/ 'AA+(EXP)sf'/ 'A+(EXP)sf'/'A+(EXP)sf'/ 'A-(EXP)sf'/'BB+(EXP)sf'/'BB-(EXP)sf' Reduce defaults by 25%, increase recoveries by 25%: 'AAA(EXP)sf'/'AAA(EXP)sf'/'A+(EXP)sf'/'A+(EXP)sf'/ 'A+(EXP)sf'/'BBB(EXP)sf'/'BB+(EXP)sf' USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. Fitch conducted a review of a small, targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. DOWSON 2025-1: S&P Assigns Prelim. B-(sf) Rating on X1-Dfrd Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary credit ratings to Dowson 2025-1 PLC's class A, B, C-Dfrd, D-Dfrd, E-Dfrd, F-Dfrd, and X1-Dfrd notes. The class X1-Dfrd and X2 notes will be excess spread notes. The proceeds from the class X1-Dfrd notes will be used to fund the initial required cash reserves, the premium portion of the purchase price, to pay certain issuer expenses and fees, and to pay any upfront swap premium due to the swap provider. Dowson 2025-1 is the eighth public securitization of U.K. auto loans originated by Oodle Financial Services Ltd. S&P also rated the first seven Dowson securitizations, which were issued between September 2019 and October 2024. S&P does not believe that the transaction will be affected by the Financial Conduct Authority's (FCA's) proposed redress scheme for missold car finance loans. The preliminary pool does not include any agreements within the scope of the current proposal for the scheme. Oodle is an independent auto and consumer lender in the U.K., with a focus on used car financing for prime and near-prime customers. The underlying collateral will comprise fully amortizing fixed-rate auto loan receivables arising under hire purchase (HP) agreements granted to private borrowers resident in the U.K. for the purchase of used and new vehicles. There are no personal contract purchase (PCP) agreements in the pool. Therefore, the transaction will not be exposed to residual value risk. Of the underlying collateral, 6.7% was previously securitized in Dowson 2022-1 PLC, 9.0% was previously securitized in Dowson 2022-2 PLC, and 0.57% was previously securitized under Dowson 2021-1 PLC and Dowson 2021-2. Of the pool, 15.6% consists of multipart agreements that include certain add-on components. These cover insurance, warranties, and refinancing of amounts owed by the obligor under any preexisting HP, lease, or other auto finance agreement, which is terminated by the obligor upon entering a new agreement. The add-on components comprise about 1.5% of the pool. Collections will be distributed monthly with separate waterfalls for interest and principal collections, and the notes amortize sequentially until the subordination for the class A notes reaches 38%. After this point, the asset-backed notes will amortize pro rata, subject to nonreversible sequential amortization triggers. At closing, a combination of note subordination, the availability of collateralized notes reserve fund, and any available excess spread will provide credit enhancement for the rated notes. The class A reserve fund will provide liquidity support to the class A notes, the class B reserve fund will provide liquidity support to the class A and B notes, and the collateralized notes reserve fund will provide liquidity support and credit enhancement to the class A to F-Dfrd notes. Oodle will remain the initial servicer of the portfolio. A moderate severity and portability risk assessment, combined with a low disruption risk assessment, results in no cap on the transaction ratings. The transaction features a backup servicer, Lenvi Servicing Ltd. The assets pay a monthly fixed interest rate, and all notes pay compounded daily sterling overnight index average (SONIA) plus a margin subject to a floor of zero. Consequently, the notes will benefit from an interest rate swap with a fixed amortization profile, with an option to rebalance subject to the satisfaction of certain conditions. S&P's structured finance operational risk and sovereign risk criteria do not constrain the assigned preliminary ratings. It expects the legal opinions to adequately address any legal risk in line with its criteria. Preliminary ratings Available Prelim credit Legal Prelim amount enhancement at Final Class rating* (mil. GBP) closing (%)§ Interest maturity A AAA (sf) 227.50 35.30 Daily compounded Dec 2032 SONIA plus a margin B AA (sf) 35.00 25.30 Daily compounded Dec 2032 SONIA plus a margin C-Dfrd A (sf) 24.50 18.30 Daily compounded Dec 2032 SONIA plus a margin D-Dfrd BBB+ (sf) 19.25 12.80 Daily compounded Dec 2032 SONIA plus a margin E-Dfrd BB (sf) 19.25 7.30 Daily compounded Dec 2032 SONIA plus a margin F-Dfrd B- (sf) 24.50 0.30 Daily compounded Dec 2032 SONIA plus a margin X1-Dfrd† B- (sf) 26.25 0.00 Daily compounded Dec 2032 SONIA plus a margin X2† NR 17.50 0.00 Daily compounded Dec 2032 SONIA plus a margin *S&P said, "Our preliminary ratings on the class A and B notes address the timely payment of interest and ultimate payment of principal, while our preliminary ratings on the class C-Dfrd, D-Dfrd, E-Dfrd, F-Dfrd, and X1-Dfrd notes address the ultimate payment of both interest and principal no later than the legal final maturity date. Our preliminary ratings also address the timely receipt of interest and full immediate repayment of all previously deferred interest on the class C–Dfrd, D-Dfrd, E-Dfrd, F-Dfrd, and X1-Dfrd notes when they become the most senior class outstanding." §Available credit enhancement at closing comprises subordination and the availability of the collateralized notes reserve fund. †The class X1-Dfrd and X2 notes will be excess spread notes not backed by collateral. SONIA--Sterling Overnight Index Average. EALBROOK MORTGAGE 2024-1: DBRS Confirms B(high) Rating on E Notes ----------------------------------------------------------------- DBRS Ratings Limited confirmed its credit ratings on the Class A to Class E Notes (together, the Rated Notes) issued by Ealbrook Mortgage Funding 2024-1 Plc (the Issuer) as follows: -- Class A Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (sf) -- Class E Notes at B (high) (sf) The credit rating on the Class A Notes addresses the timely payment of interest and ultimate repayment of principal on or before the legal final Maturity date. The credit ratings on the Class B, Class C, Class D, and Class E Notes address the ultimate payment of interest and principal on or before the legal final maturity date while junior, and timely payment of interest while the senior-most class outstanding. 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 August 2025 payment date. -- Portfolio default rate (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables. -- Current available credit enhancement to the notes to cover the expected losses at their respective credit rating levels. The transaction is a securitization of UK first-lien, predominantly owner-occupied, residential mortgages originated and serviced by Bluestone Mortgages Limited (Bluestone). In 2023, Bluestone was acquired by Shawbrook Bank Limited, which is the Seller and sponsor of the transaction. The First Optional Redemption Date (FORD) is on the November 2028 payment date and coincides with the step-up of the margins on the Rated Notes. The legal final maturity date is at the payment date in August 2066. PORTFOLIO PERFORMANCE As of 31 July 2025, loans two to three months in arrears represented 2.1% of the outstanding portfolio balance, and loans more than three months in arrears represented 5.3%. The cumulative default ratio was 0.1%. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and has updated its base case PD and LGD assumptions at the B (sf) credit rating level to 11.7% and 7.0% respectively. CREDIT ENHANCEMENT Credit enhancement to the Rated Notes is provided by subordination of the junior notes and the general reserve fund (GRF). As of the August 2025 payment date, credit enhancement had increased from the Morningstar DBRS Initial Rating as follows: -- Class A Notes: 10.9%, up from 10.0%; -- Class B Notes: 5.8%, up from 5.3%; -- Class C Notes: 4.2%, up from 3.8%; -- Class D Notes: 2.6%, up from 2.3%; and -- Class E Notes: 0.1%, up from 0.0%. The transaction benefits from a liquidity reserve fund (LRF) of GBP 5.0 million, equivalent to 1.4% of the outstanding Class A and Class B Notes balance. The LRF covers senior fees and interest on the Class A and Class B Notes (providing Class B is either the most senior outstanding or the Class B principal deficiency ledger (PDL) balance is no greater than 10.0%). The LRF will stop amortizing if either: (1) the collateralized notes are not redeemed in full at the FORD; or (2) cumulative defaults are greater than 5.0% of the original portfolio balance. The transaction also benefits from a GRF of GBP 0.3 million, equivalent to 1.4% of the initial Rated Notes balance minus the LRF target amount. The GRF covers senior fees, interest on the Rated Notes, and principal losses via the PDLs on the Rated Notes (subject to a PDL condition of 10% for each class of notes, unless they are the most senior outstanding). The GRF will also stop amortizing if either: (1) the collateralized notes are not redeemed in full at the FORD; or (2) cumulative defaults are greater than 5.0% of the original portfolio balance. Citibank N.A., London Branch (Citibank) acts as the account bank for the transaction. Based on the Morningstar DBRS private credit rating on Citibank, 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 rating assigned to the Class A Notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Lloyds Bank Corporate Markets plc (Lloyds) acts as the swap counterparty for the transaction. Morningstar DBRS' private credit rating on Lloyds is above the First Rating Threshold as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Notes: All figures are in British pound sterling unless otherwise noted. GLACIER ENERGY: Teneo Financial Named as Administrators ------------------------------------------------------- Glacier Energy Manufacturing Limited was placed into administration proceedings in the Court of Session, Edinburgh No P1096 of 2025, and Adele MacLeod and Clare Boardman of Teneo Financial Advisory Limited were appointed as administrators on Oct. 24, 2025. Glacier Energy specialized in provision of machining equipment, heat transfer systems and non-destructive testing inspection services across the oil and gas, renewables, petrochemicals and power generation industries. Its registered office is c/o Teneo Financial Advisory Limited, 66 Hanover Street, Edinburgh EH2 1EL Its principal trading address is at Blackwood House, Union Grove Lane, Aberdeen AB10 6XU The joint administrators can be reached at: Adele MacLeod Clare Boardman Teneo Financial Advisory Limited The Colmore Building 20 Colmore Circus Queensway Birmingham, B4 6AT For further details, contact: The Joint Administrators Tel: 0121 619 0120 Alternative contact: Daisy Cartlidge Email: daisy.cartlidge@teneo.com HARBOUR NO. 2: DBRS Confirms B(low) Rating on Class X Notes ----------------------------------------------------------- DBRS Ratings Limited confirmed its credit ratings on the notes issued by Harbour No. 2 PLC (the Issuer) as follows: -- Class A2 Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (low) (sf) -- Class E Notes at BB (high) (sf) -- Class F Notes at B (high) (sf) -- Class X Notes at B (low) (sf) The credit rating on the Class A2 Notes addresses the timely payment of interest and ultimate repayment of principal by the Legal Final Maturity Date. The credit ratings on the Class B, Class C, Class D, Class E, and Class F Notes address the ultimate payment of interest and principal on or before the legal final maturity date while junior, and timely payment of interest while the senior-most class outstanding. The credit rating on the Class X Notes addresses 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 July 2025 payment date. -- Portfolio default rate (PD), loss given default (LGD) and expected loss assumptions on the remaining receivables. -- Current available credit enhancement to the notes to cover the expected losses at their respective credit rating levels. The transaction is a securitization of UK owner-occupied and buy-to-let residential mortgages originated by several originators which ceased their lending operations after the 2008 financial crisis. The portfolio was previously secured in the Harbour No.1 plc transaction; Harbour No.1 plc sold the securitized portfolio to Isle of Wight Home Loans Limited, a SPV fully owned by Barclays Bank plc, and on the same date sold the portfolio to the Issuer. The portfolio was originally assembled by buying three different portfolios: the Wall portfolio; the MAQ portfolio; and the Morag portfolio. Each portfolio is serviced by a different servicer: the Wall portfolio is serviced by Intrum Mortgages UK Finance Limited, the MAQ portfolio is serviced by Pepper (UK) Limited, and the Morag portfolio is serviced by Topaz Finance Limited. The Class A Notes initially comprised Class A1 and Class A2 Notes, paid pro rata and pari passu. The transaction documents permit the issuance of further Class A2 Notes following a request from the portfolio option holder and with the Class A1 Noteholders' consent. On 10 April 2025, further Class A2 Notes totaling GBP 223 million were issued and combined with the initial Class A2 Notes to form a single class of Notes. The Issuer used the proceeds from the issuance of additional Class A2 Notes to redeem the Class A1 Notes in full so that the total Class A issuance remained unchanged. The AAA (sf) credit rating on the Class A1 Notes was subsequently discontinued following their redemption in full. PORTFOLIO PERFORMANCE As of 30 June 2025, loans two to three months in arrears represented 2.9% of the outstanding portfolio balance and loans more than three months in arrears represented 36.1%. Cumulative principal losses as a percentage of the original portfolio balance were 0.7%. 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 at the B (sf) credit rating level to 41.0% and 9.8% respectively. CREDIT ENHANCEMENT Credit enhancement to the Class A to Class F Notes is provided by subordination of the junior notes and the general reserve fund (GRF). As of the July 2025 payment date, credit enhancement had increased from the Morningstar DBRS Initial Rating as follows: -- Class A2 Notes: 38.7%, up from 33.8%; -- Class B Notes: 30.9%, up from 26.4%; -- Class C Notes: 23.6%, up from 19.5%; -- Class D Notes: 12.3%, up from 14.4%; -- Class E Notes: 14.9%, up from 11.2%; and -- Class F Notes: 10.6%, up from 7.0%. The transaction benefits from a liquidity reserve fund (LRF) of GBP 1.2 million, equal to 0.5% of the initial Class A1 and Class A2 Notes balance. The LRF covers senior fees and interest on the Class A2 Notes. The GRF is nonamortizing and covers senior fees, interest on the Class A2 to Class F Notes, and principal losses via the principal deficiency ledgers (PDL) on the Class A2 to Class F Notes (subject to a PDL condition of 10% for each class of notes, unless they are the most senior outstanding). The target balance of the GRF is 1.25% of the initial portfolio balance. The GRF is currently funded to its target level of GBP 4.6 million. Barclays Bank PLC acts as the account bank for the transaction. Based on the account bank reference rating of Barclays Bank PLC at A (high), which is one notch below the Morningstar DBRS public Long-Term Critical Obligations Rating of AA (low); the downgrade provisions outlined in the transaction documents; and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the ratings assigned to the Class A2 Notes, as described in Morningstar DBRS's "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Notes: All figures are in British pound sterling unless otherwise noted. HOPS HILL NO. 5: S&P Affirms 'B+(sf)' Rating on Class E-Dfrd Notes ------------------------------------------------------------------ S&P Global Ratings affirmed its 'AAA (sf)', 'AA- (sf)', 'A- (sf)', 'BBB- (sf)', and 'B+ (sf)' credit ratings on Hops Hill No.5 PLC's class A, B-Dfrd, C-Dfrd, D-Dfrd, and E-Dfrd notes, respectively. At the same time, S&P also resolved the UCO placements. The transaction closed in July 2025 and was subsequently placed under criteria observation following the publication of its updated counterparty criteria. As the first interest payment date is due in November 2025, no performance data was available at the time of the review. Therefore, S&P used the information received at closing, so its credit analysis results, and capital structure remain unchanged. The rating actions reflect the effect of the removal of previously modelled commingling loss. Collections are swept daily and under revised counterparty criteria, the servicer exposure is minor and does not constrain the ratings on the securities. S&P said, "Following our updated cash flow analysis, we affirmed our 'AAA (sf)', 'AA- (sf)', and 'A- (sf)' ratings on the class A, B-Dfrd, and C-Dfrd notes because our cash flow results indicate that the available credit enhancement remains commensurate with the assigned ratings. "The class D-Dfrd and E-Dfrd notes pass stresses in our standard run at rating levels higher than that those previously assigned when removing the commingling loss-based stresses. However, we affirmed our 'BBB- (sf)' rating on the class D-Dfrd notes and 'B+ (sf)' rating on the class E-Dfrd notes, similar to what we did at closing, considering the results of additional sensitivity runs, the tranches' sensitivity to higher defaults, and lower excess spread caused by prepayments." The transaction is backed by a pool of first ranking, buy-to-let residential mortgages in the U.K. ICW CONSULTANTS: Marshall Peters Named as Administrators -------------------------------------------------------- ICW Consultants Scot Ltd was placed into administration proceedings in the Court of Session, and Lee Morris and John Thompson of Marshall Peters were appointed as administrators on Oct. 24, 2025. ICW Consultants engaged in business support service activities. Its registered office is at Unit 22b Queen Elizabeth Avenue, Hillington Park, Glasgow, G52 4NQ Its principal trading address is at Wilson Business Park, 1 Queen Elizabeth Avenue, Glasgow, G52 8NQ The joint administrators can be reached at: Lee Morris John Thompson Marshall Peters Heskin Hall Farm, Wood Lane Heskin, Preston PR7 5PA Tel No: 01257 452021 For further details, contact: Joe Mosson Marshall Peters Tel No: 01257 452021 Email: joemosson@marshallpeters.co.uk Heskin Hall Farm, Wood Lane Heskin, Preston, PR7 5PA MOLOSSUS BTL 2025-1: Fitch Assigns 'B-(EXP)sf' Rating on Cl. F Debt ------------------------------------------------------------------- Fitch Ratings has assigned Molossus BTL 2025-1 PLC (Molo 2025-1) expected ratings. The assignment of final ratings is contingent on the receipt of final documents conforming to the information already reviewed. Entity/Debt Rating ----------- ------ Molossus BTL 2025-1 PLC A LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT B+(EXP)sf Expected Rating F LT B-(EXP)sf Expected Rating G LT NR(EXP)sf Expected Rating Z LT NR(EXP)sf Expected Rating Transaction Summary Molo 2025-1 is a securitisation of buy-to-let (BTL) mortgages originated in England and Wales by ColCap Financial UK Limited (ColCap). ColCap is a wholly owned subsidiary of ColCap Financial Limited, an Australian non-bank mortgage lender. KEY RATING DRIVERS Limited Performance Data: The loans within the pool have similar characteristics to standard UK BTL mortgages; however, ColCap UK only started originating BTL mortgages in 2019, under the brand Molo Finance, and did not have material origination volumes until 2021. The limited history of origination and subsequent performance data are sufficiently mitigated through the available proxy data and adjustments made to the foreclosure frequency (FF) in Fitch's analysis. Assets with Low Seasoning: Loans originated in and after 2024 will constitute 95.8% of the underlying pool. The pool will have a weighted average (WA) original loan-to-value (LTV) of 72.7% and a WA current LTV of 72.6%, leading to a WA sustainable LTV of 80.9%. The pool will also have a Fitch-calculated WA interest coverage ratio of 115.8%. Prefunding Mechanism: The transaction will include a prefunding reserve where funds raised surplus to requirements are set aside. These funds may be used to purchase further loans to add to the asset pool before the first interest payment date. There will be no portfolio limits. However, the additional loan criteria will require that loans be sourced only from the seller's pipeline as at 31 August 2025. The stratification of loans in the pipeline are not materially different from the pool, so no change in the pool's credit profile is expected. Product Switches Drive Excess Spread: The current WA interest rate is 5.2%, but the level of excess spread will be reduced by the ability of the transaction to retain product switches. Up to 5% of the original balance of the pool (including prefunded loans) can be retained after a product switch. The minimum interest rate of product switches will be at a level that produces a post-swap margin of 1.4%. The point at which these loans are scheduled to revert from a fixed rate to the variable rate will likely determine when prepayments will occur. Fitch has therefore applied an alternative high prepayment stress that tracks the fixed rate reversion profile (including retained product switches) of the pool. The prepayment rate applied is floored at 5% during periods of no reversion and capped at a maximum 40% a year during peaks of reversions. Fixed Hedging Schedule: At closing, the issuer will enter a swap agreement to mitigate the interest rate risk arising from the fixed-rate mortgage loans before their reversion date. The swap will follow a pre-defined schedule rather than on the balance of fixed-rate loans. If the loans prepay or default, the issuer will be over-hedged. The excess hedging is beneficial to the issuer in a rising interest-rate environment and detrimental in decreasing interest rate scenarios. For product switch loans, the issuer will enter into a product switch interest rate swap or make a product switch interest rate swap adjustment, maintaining a minimum post-swap yield of 1.4% on the product switch loans. Guarantee for Unrated Swap Provider: MUFG Securities EMEA Plc, one of the swap providers, is unrated. A deed poll guarantee is provided by MUFG Bank, Ltd, a Fitch-rated entity incorporated in Japan and eligible to provide credit support. Fitch has received a legal opinion confirming that the guarantee, as supplemented and amended by the deeds of supplement and amendment, constitutes legal, valid, binding and enforceable obligations under English law. However, no sufficient legal assurance has been provided for the enforceability of the guarantee as supplemented and amended under Japanese law. Fitch has assessed a scenario without the MUFG Securities EMEA Plc hedging and found that the notes' ratings would not be lower than the assigned ratings, despite the transaction being partly unhedged in this scenario. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The transaction's performance may be affected by adverse changes in market conditions and the economic environment. Weakening economic performance is strongly correlated to increasing delinquencies and defaults that could reduce credit enhancement available to the notes. In addition, unexpected declines in recoveries could result in lower net proceeds, which may make certain notes susceptible to negative rating action, depending on the extent of the decline in recoveries. Fitch found that a 15% increase in the WAFF and 15% decrease of the WA recovery rate (RR) would imply the following: Class A: 'AAAsf' Class B: 'Asf' Class C: 'BBBsf' Class D: 'BBsf' Class E: 'Bsf' Class F: Below 'B-sf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing credit enhancement and, potentially, upgrades. Fitch found that a 15% decrease in the WAFF and 15% increase of the WARR would imply the following: Class A: 'AAAsf' Class B: 'AA+sf' Class C: 'A+sf' Class D: 'BBB+sf' Class E: 'BBsf' Class F: 'B-sf' USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information, and concluded that there were no findings that affected the rating analysis. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MOLOSSUS BTL 2025-1: S&P Assigns Prelim. BB-(sf) Rating on F Notes ------------------------------------------------------------------ S&P Global Ratings has assigned preliminary credit ratings to Molossus BTL 2025-1 PLC's (Molossus 2025-1) class A notes and class B-Dfrd to F-Dfrd interest deferrable notes. At closing, Molossus 2025-1 will also issue unrated class G and Z notes and unrated certificates. Molossus 2025-1 is a static RMBS transaction that securitizes a portfolio of GBP259.2 million buy-to-let (BTL) mortgage loans secured on properties in the U.K. (the provisional pool). The loans were originated by ColCap Financial UK Ltd. (ColCap UK). The transaction includes an expected prefunded amount of 13.6%, comprising GBP40.8 million of loans randomly drawn from an existing pool of GBP57.5 million of loans currently offered to borrowers. The GBP259.2 million provisional pool, combined with the expected GBP40.8 million prefunding loans, together make up the expected GBP300 million combined pool. The prefunding portfolio's credit characteristics are very similar to the provisional pool. S&P expects these prefunding loans to be sold to the issuer from closing until the first interest payment date. On the first interest payment date, if these loans are not purchased, the unused prefunding amount will pay down the collateralized notes pro rata, according to the principal waterfall. ColCap UK is a wholly-owned subsidiary of ColCal Financial Overseas Holdings Ltd., which in turn is a wholly owned subsidiary of ColCap Financial Ltd., a company incorporated in Australia. This is ColCap UK's second securitization, after Molossus BTL 2024-1 PLC, which also comprised solely first-lien BTL loans. The historical performance of the lender's mortgage book has proven relatively strong to date, with total arrears across first-lien BTL mortgages remaining below 1.0%. The pool is considered prime, with limited tolerance to adverse credit markers, such as arrears and county court judgments. At closing, a fully funded liquidity reserve account will provide support to the class A and B-Dfrd notes. The transaction also features a general reserve account which provides support to the class A to F-Dfrd notes. Principal can also be used to cure interest shortfalls if the relevant class of notes is the most senior outstanding. The transaction will have low excess spread at closing, driven by the fixed rate the issuer pays upon the interest rate swap and the low fixed rate on the pool. S&P expects excess spread to increase once the loans revert to their reversionary rates, further strengthening the transaction's ability to absorb potential losses. At closing, the issuer will use the issuance proceeds to purchase the full beneficial interest in the mortgage loans from the seller. The issuer will grant security over all of its assets in favor of the security trustee. S&P said, "Based on our initial analysis, we do not expect any rating constraints in the transaction under our counterparty, operational risk, or structured finance sovereign risk criteria. We consider the issuer to be bankruptcy remote, subject to our review of the executed transaction documents and legal opinions." Ratings Class Prelim. Rating Prelim. class size (%) A AAA (sf) 88.36 B-Dfrd AA- (sf) 5.70 C-Dfrd A (sf) 1.97 D-Dfrd BBB+ (sf) 1.32 E-Dfrd BB+ (sf) 0.70 F-Dfrd BB- (sf) 1.00 G NR 0.95 Z NR N/A Certificates NR N/A NR--Not rated. N/A--Not applicable. SHEFFIELD 3: Begbies Traynor Named as Administrators ---------------------------------------------------- Sheffield 3 Limited was placed into administration proceedings in the High Court of Justice, Business and Property Courts of England and Wales, Insolvency and Companies List (ChD), No CR-2025-007468, and Julian Nigel Richard Pitts and Stephen Mark Powell of Begbies Traynor (Central) LLP were appointed as administrators on Oct. 24, 2025. Sheffield 3 is a non-trading company. Its registered office is at Suite 500, Unit 2, 94A Wycliffe Road, Northampton, NN1 5JF. The joint administrators can be reached at: Julian Nigel Richard Pitts Kris Anthony Wigfield Paul Stanley Begbies Traynor (Central) LLP 3rd Floor, Westfield House 60 Charter Row Sheffield S1 3FZ For further details, contact: Pan Myet Chal at swfc@btguk.com SHEFFIELD WEDNESDAY: Begbies Traynor Named as Administrators ------------------------------------------------------------ Sheffield Wednesday Football Club Limited was placed into administration proceedings in the High Court of Justice, Business and Property Courts of England and Wales, Insolvency and Companies List (ChD), No CR-2025-007467, and Julian Nigel Richard Pitts and Paul Stanley of Begbies Traynor (Central) LLP were appointed as administrators on Oct. 24, 2025. Sheffield Wednesday is into the operation of sports facilities. Its registered office is at Suite 500, Unit 2, 94A Wycliffe Road, Northampton, NN1 5JF. The joint administrators can be reached at: Julian Nigel Richard Pitts Kris Anthony Wigfield Paul Stanley Begbies Traynor (Central) LLP 3rd Floor, Westfield House 60 Charter Row Sheffield S1 3FZ For further details, contact: swfc@btguk.com UK LOGISTICS 2025-2: DBRS Finalizes BB Rating on Class E Notes -------------------------------------------------------------- DBRS Ratings Limited finalized provisional credit ratings to the following bonds issued by UK Logistics 2025-2 DAC (the Issuer): -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) All trends are Stable. CREDIT RATING RATIONALE The transaction is a securitization of a GBP 760.3 million floating-rate commercial real estate (CRE) loan originated by Natixis, London Branch and Natixis Pfandbrief Bank AG (together, Natixis), Société Generale, London Branch (SG) and Morgan Stanley Bank, N.A. (MS; collectively the lenders) and backed by a portfolio of 114 industrial and logistics (I&L) properties located throughout the UK. Natixis and SG are acting as loan sellers and securitizing a portion of their respective shares of the loan (GBP 510 million). Together, MS, Natixis and SG are retaining GBP 250.3 million from the total loan amount, which will have a pari passu ranking with the securitized portion of the loan. Furthermore, to enable the issuer to buy the securitized portion of the loan from the loan sellers, and to comply with applicable regulatory risk retention requirements, Natixis and SG together are advancing approximately GBP 26.7 million to the Issuer on closing date (the Issuer loan). The entire amount of the Issuer loan is initially funded by SG, half of which will subsequently be novated to Natixis for cash consideration. An amount of approximately GBP 22.5 million from the proceeds of the Class A notes issuance and an amount of approximately GBP 1.18 million from the Issuer loan is being set aside to fund a liquidity facility reserve at the issuer level. The properties are collectively owned and managed by Indurent Management Limited (Indurent), a portfolio company controlled by funds managed and/or advised by the Blackstone Group or its affiliated entities (Blackstone or the Sponsor). The obligors are various propco entities owned and controlled by Indurent as well as certain pledgeco and holdco entities directly or indirectly controlled by Blackstone. The loan is regulated by a facility agreement that was entered into between the lenders and the borrowers in August 2025. The purpose of the loan was to refinance existing indebtedness on Blackstone's portfolio of I&L assets that have been acquired since 2022. Morningstar DBRS notes that, of the 114 assets securitized in this transaction, 103 assets were previously financed via Stark Financing 2023-1 DAC, which has since been repaid. The loan bears interest at a floating rate equal to three-month Sterling Overnight Index Average (Sonia) (subject to zero floor), plus a loan margin of 2.25% per annum. The loan is interest only (IO) and does not benefit from any scheduled amortization, either before or after any permitted change of control (PCOC). The loan is initially expected to mature in August 2027 (the initial repayment date) with three one-year extension options available to the borrower, conditional upon satisfactory hedging being in place prior to each extension and no non-payment, insolvency or insolvency proceedings related event of default (EOD) continuing at the relevant time. The legal final maturity of the notes is fixed in August 2035, five years after the final loan repayment date in August 2030. Morningstar DBRS is of the opinion that a minimum five-year legal tail period provides sufficient time to enforce on the loan collateral and ultimately repay the noteholders. The loan includes the following cash trap covenants: a loan-to-value ratio (LTV) greater than 77.5% and/or (1) falling on or before the loan payment date in August 2027, the debt yield (DY) is less than 6.50%; and (2) falling on or after the loan payment date in November 2027, DY is less than 8.00%. The loan also features EOD financial covenants following any PCOC, set out as follows: the LTV EOD financial covenant is set at LTV being greater than LTV as at the PCOC date + 15 percentage points, and the DY EOD financial covenant is set at lesser than 85.0% of the DY as at the PCOC date. The sponsor can dispose of any assets securing the loan by repaying a release price of 100% of the allocated loan amount (ALA) up to the first release price threshold, which equals 10% of the initial portfolio valuation. Once the first release price threshold is met, the release price will be 105% of the ALA up to the second release price threshold, which equals 20% of the initial portfolio valuation. The release price will be 110% of the ALA thereafter. Following a PCOC, the release price will increase by 2.5 percentage points for each relevant bucket of the release price threshold (102.5% up to 10% of the initial portfolio valuation, 107.5% from 10% to 20% of the initial portfolio valuation and 112.5% beyond 20% of the initial portfolio valuation). Morningstar DBRS understands that no interest rate hedging is yet in place on the loan, but is expected to be put in place before the first loan payment date in November 2025. The aggregate notional amount of the hedging transactions in respect of the loan is expected to be 100% of the outstanding principal amount of the loan. Morningstar DBRS understands that the initial hedging is expected to be via an interest rate cap with a strike rate of 2.5% for year 1 (through August 2026) of the loan, with the strike rate rising to 4.25% for year 2 (through August 2027). Further, the borrower is obligated to ensure that the maximum hedging rate is no more than the higher of (1) 5.00% per annum and (2) the rate that ensures that, as at the date on which the relevant hedging transaction is contracted, the hedged interest coverage ratio (ICR) is not less than 1.25 times (x). However, if any hedging transaction is in the form of a swap and if the market prevailing swap (fixed leg) rate at that time is lower than each of (1) and (2) above, such market prevailing swap (fixed leg) rate on the date on which the relevant hedging transaction is contracted would be the maximum hedging rate. Furthermore, in the event of one or more extensions to the loan maturity date beyond August 2027, there is an obligation to extend the hedge every year for the remaining term of the loan. Failure to extend the hedging arrangement such that it is co-terminus with the expected final repayment date on the loan would constitute an event of default under transaction documents. Morningstar DBRS, however, notes that the transaction documents contemplate and provide for such extension of hedging arrangements, following the same requisite criteria for the maximum hedging rate as described above. The portfolio comprises 114 I&L assets across the UK. The majority of the portfolio is located in the North, representing 41.6% of market value (MV) and 46.5% of gross rental income (GRI). The remainder of the portfolio is spread across the South East, Midlands, Scotland, and South West & Wales. 68% of the portfolio by GLA comprises small box units ( ********* 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 * * *