251113.mbx

251113.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 Thursday, November 13, 2025, Vol. 26, No. 227 Headlines I R E L A N D AQUEDUCT EUROPEAN 8: S&P Assigns Prelim. B-(sf) Rating on F-R Notes FIDELITY GRAND 2023-2: S&P Assigns B-(sf) Rating on Cl. F-R Notes HARVEST CLO XXI: Moody's Affirms B2 Rating on EUR9.4MM Cl. F Notes HARVEST CLO XXXVII: S&P Assigns B-(sf) Rating on Class F Notes MAN GLG III: S&P Lowers Class F Notes Rating to 'CCC+(sf)' NORTH WESTERLY X: S&P Assigns B-(sf) Rating on Class F Notes TRINITAS EURO VI: S&P Assigns B-(sf) Rating on Class B-2 Notes TRINITAS EURO X: S&P Assigns B-(sf) Rating on Class F Notes U N I T E D K I N G D O M FORTRESS GLOBAL: FTS Recovery Appointed as Joint Administrators HUH LTD: Maxwell Davies Appointed as Administrators KRL GROUP: Leonard Curtis Appointed as Joint Administrators LIBERTY DELTA 5: Begbies Traynor Appointed as Joint Administrators LUXURY WATCH: Begbies Traynor Appointed as Joint Administrators SHEPPERTON BUILDERS: Seneca IP Appointed as Joint Administrators SOUTHERN PACIFIC 06-A: S&P Affirms 'BB+(sf)' Rating on D1 Notes - - - - - ============= I R E L A N D ============= AQUEDUCT EUROPEAN 8: S&P Assigns Prelim. B-(sf) Rating on F-R Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary credit ratings to Aqueduct European CLO 8 DAC's class A-R, B-R, C-R, D-R, E-R, and F-R reset notes. At closing, the issuer will have unrated subordinated notes outstanding from the existing transaction and issue EUR1.70 million of additional subordinated notes. This is a European cash flow CLO transaction, securitizing a pool of primarily syndicated senior secured loans and bonds. The portfolio's reinvestment period will end approximately 4.6 years after closing. This transaction is a reset of the already existing transaction that closed in June 2024. The existing classes of notes will be fully redeemed with the proceeds from the issuance of the replacement notes on the reset date. The ratings on the original notes will be withdrawn on the reset date. Under the transaction documents, the rated notes pay quarterly interest unless there is a frequency switch event. Following this, the notes will switch to semiannual payments. The preliminary ratings assigned to Aqueduct European CLO 8 DAC's notes reflect our assessment of: -- The diversified collateral pool, which primarily comprises broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which S&P expects to be bankruptcy remote. -- The transaction's counterparty risks, which S&P expects to be in line with its counterparty rating framework. Portfolio benchmarks S&P Global Ratings' weighted-average rating factor 2,805.33 Default rate dispersion 536.73 Weighted-average life (years) 4.34 Weighted-average life extended to cover the length of the reinvestment period (years) 4.59 Obligor diversity measure 165.43 Industry diversity measure 22.61 Regional diversity measure 1.26 Transaction key metrics Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 2.25 Actual 'AAA' weighted-average recovery (%) 35.74 Target weighted-average spread (net of floors; %) 3.76 Target weighted-average coupon (%) 3.95 Rationale S&P said, "At closing, we expect the portfolio to be well diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans and senior secured bonds. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "In our cash flow analysis, we used the EUR400 million target par amount, the covenanted weighted-average spread (3.65%), the target weighted-average coupon (3.90%), and the actual target weighted-average recovery rates calculated in line with our CLO criteria for all classes of notes. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category." Until the end of the reinvestment period on July 15, 2030, the collateral manager may substitute assets in the portfolio as 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. S&P said, "Following the application of our structured finance sovereign risk criteria, we consider the transaction's exposure to country risk to be limited at the assigned preliminary ratings, as the exposure to individual sovereigns does not exceed the diversification thresholds outlined in our criteria. "At closing, we expect the transaction's documented counterparty replacement and remedy mechanisms to adequately mitigate its exposure to counterparty risk under our counterparty criteria. "At closing, we expect the transaction's legal structure and framework to be bankruptcy remote, in line with our legal criteria." The CLO will be managed by HPS Investment Partners CLO (UK) LLP, and the maximum potential rating on the liabilities is 'AAA' under our operational risk criteria. S&P said, "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe the preliminary ratings are commensurate with the available credit enhancement for the class A-R to F-R notes. Our credit and cash flow analysis indicates that the available credit enhancement for the class B-R to D-R notes could withstand stresses commensurate with higher ratings than those assigned. However, as the CLO will be in its reinvestment phase--during which the transaction's credit risk profile could deteriorate--we have capped our assigned preliminary ratings on the notes. "Given our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe our preliminary ratings are commensurate with the available credit enhancement for all the rated classes of loan and 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 included the sensitivity of the preliminary 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 preliminary '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." Environmental, social, and governance S&P said, "We regard the transaction's exposure to environmental, social, and governance (ESG) credit factors as broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental and social credit factors is viewed as below average, while governance credit factors are average. For this transaction, the documents prohibit or limit assets from being related to certain industries. Since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Aqueduct European CLO 8 DAC Reset is a European cash flow CLO securitization of a revolving pool, comprising mainly euro-denominated leveraged loans and bonds. It is managed by HPS Investment Partners CLO (UK) LLP. Ratings Prelim Prelim amount Credit Class rating* (mil. EUR) Interest rate§ enhancement (%) A-R AAA (sf) 244.00 3mE +1.30% 39.00 B-R AA (sf) 48.50 3mE +1.80% 26.88 C-R A (sf) 24.00 3mE +2.15% 20.88 D-R BBB- (sf) 28.50 3mE +2.85% 13.75 E-R BB- (sf) 18.00 3mE +5.15% 9.25 F-R B- (sf) 11.00 3mE +8.00% 6.50 Sub NR 33.55 N/A N/A *The preliminary ratings assigned to the class A-R and B-R notes address timely interest and ultimate principal payments. The preliminary ratings assigned to the class C-R, D-R, E-R, and F-R notes address ultimate interest and principal payments. §The payment frequency switches to semiannual and the index switches to six-month Euro Interbank Offered Rate (EURIBOR) when a frequency switch event occurs. NR--Not rated. N/A--Not applicable. 3mE--Three-month EURIBOR. FIDELITY GRAND 2023-2: S&P Assigns B-(sf) Rating on Cl. F-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its credit ratings to Fidelity Grand Harbour CLO 2023-2 DAC's class A loan and class X-R, A-R, B-1-R, B-2-R, C-R, D-R, E-R, and F-R European cash flow CLO notes. At closing, the issuer had unrated subordinated notes outstanding from the existing transaction. This transaction is a reset of the already existing transaction that closed in March 2024. The existing classes of notes were fully redeemed with the proceeds from the issuance of the replacement notes on the reset date. The ratings on the original notes have been withdrawn. 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 4.4 years after closing, and its noncall period ends 1.4 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 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 2,826.70 Default rate dispersion 530.71 Weighted-average life (years) 4.85 Obligor diversity measure 115.21 Industry diversity measure 18.31 Regional diversity measure 1.27 Transaction key metrics Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 2.50 Target 'AAA' weighted-average recovery (%) 36.63 Target weighted-average spread (net of floors; %) 3.77 Target weighted-average coupon (%) 3.42 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 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 15, 2030, the collateral manager may substitute assets in the portfolio for so long as our CDO Monitor test is maintained or improved in relation to the initial ratings on the notes and loan. This test looks at the total amount of losses that the transaction can sustain as established by the initial cash flows for each rating, and it compares that with the current portfolio's default potential plus par losses to date. As a result, until the end of the reinvestment period, the collateral manager may through trading deteriorate the transaction's current risk profile, as long as the initial ratings are maintained. "Following the end of the reinvestment period, certain assets can be substituted as long as they meet the reinvestment criteria. In our cash flow analysis, we used the EUR400 million target par amount, the covenanted weighted-average spread (3.70%), the covenanted weighted-average coupon (4.50%), and the actual weighted-average recovery rates at all rating levels. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "Our credit and cash flow analysis indicates that the available credit enhancement for the class B-1-R to C-R notes benefits from break-even default rate (BDR) and scenario default rate cushions that we would typically consider commensurate with higher ratings than those assigned. However, as the CLO is still in its reinvestment phase, during which the transaction's credit risk profile could deteriorate, we have capped our ratings assigned to the notes. "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 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 S&P has rated and that has recently been issued in Europe. -- The portfolio's average credit quality, which is similar to other recent CLOs. -- S&P's model generated BDR at the 'B-' rating level of 26.06% (for a portfolio with a weighted-average life of 4.85 years), versus if we were to consider a long-term sustainable default rate of 3.2% for 4.85 years, which would result in a target default rate of 15.52%. -- 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, the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. "The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our current counterparty criteria. "The transaction's legal structure and framework is bankruptcy remote. The issuer is a special-purpose entity that meets our criteria for bankruptcy remoteness. "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 X-R to F-R notes and A loan. "In addition to our standard analysis, we have also included the sensitivity of the ratings on the class X-R to E-R notes and A 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- (sf)' 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." Environmental, social, and governance S&P said, "We regard the exposure to environmental, social, and governance (ESG) credit factors in the transaction as being broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental credit factors is viewed as below average, social credit factors are below average, and governance credit factors are average. For this transaction, the documents prohibit or limit assets from being related to certain industries. Since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." The transaction securitizes a portfolio of primarily senior secured leveraged loans and bonds. The transaction is managed by Fidelity CLO Advisers LP. Ratings Amount Credit Class Rating* (mil. EUR) enhancement (%) Interest rate§ X-R AAA (sf) 1.75 N/A 3mE +0.83% A-R AAA (sf) 167.10 38.00 3mE +1.30% A-Loan AAA (sf) 80.90 38.00 3mE +1.30% B-1-R AA (sf) 39.00 27.00 3mE +1.85% B-2-R AA (sf) 5.00 27.00 4.40% C-R A (sf) 24.00 21.00 3mE +2.15% D-R BBB- (sf) 29.00 13.75 3mE +3.20% E-R BB- (sf) 17.00 9.50 3mE +5.40% F-R B- (sf) 12.00 6.50 3mE +8.12% Sub. Notes NR 34.50 N/A N/A *The ratings assigned to the class X-R, A-R, B-1-R, and B-2-R notes and the class A Loan 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 semi-annual and the index switches to six-month Euro Interbank Offered Rate (EURIBOR) when a frequency switch event occurs. Sub. notes--Subordinated notes NR--Not rated. N/A--Not applicable. 3mE--Three-month EURIBOR. HARVEST CLO XXI: Moody's Affirms B2 Rating on EUR9.4MM Cl. F Notes ------------------------------------------------------------------ Moody's Ratings has upgraded the ratings on the following notes issued by Harvest CLO XXI DAC: EUR28,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2031, Upgraded to Aa1 (sf); previously on Aug 10, 2023 Upgraded to A1 (sf) EUR23,600,000 Class D Senior Secured Deferrable Floating Rate Notes due 2031, Upgraded to A3 (sf); previously on Aug 10, 2023 Upgraded to Baa2 (sf) Moody's have also affirmed the ratings on the following notes: EUR210,000,000 (Current outstanding balance EUR105,720,348) Class A-1 Senior Secured Floating Rate Notes due 2031, Affirmed Aaa (sf); previously on Aug 10, 2023 Affirmed Aaa (sf) EUR30,000,000 (Current outstanding balance EUR15,102,907) Class A-2 Senior Secured Fixed Rate Notes due 2031, Affirmed Aaa (sf); previously on Aug 10, 2023 Affirmed Aaa (sf) EUR38,400,000 Class B-1 Senior Secured Floating Rate Notes due 2031, Affirmed Aaa (sf); previously on Aug 10, 2023 Upgraded to Aaa (sf) EUR6,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2031, Affirmed Aaa (sf); previously on Aug 10, 2023 Upgraded to Aaa (sf) EUR24,400,000 Class E Senior Secured Deferrable Floating Rate Notes due 2031, Affirmed Ba2 (sf); previously on Aug 10, 2023 Affirmed Ba2 (sf) EUR9,400,000 Class F Senior Secured Deferrable Floating Rate Notes due 2031, Affirmed B2 (sf); previously on Aug 10, 2023 Affirmed B2 (sf) Harvest CLO XXI DAC, issued in March 2019, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured European loans. The portfolio is managed by Investcorp Credit Management EU Limited. The transaction's reinvestment ended in October 2023. RATINGS RATIONALE The rating upgrades on the Class C and Class D notes are primarily a result of the deleveraging of the senior notes following amortisation of the underlying portfolio over the last year. The affirmations on the ratings on the Class A-1, Class A-2, Class B-1, Class B-2, Class E and Class F notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A notes have paid down by approximately EUR98.6 million (41.1%) in the last 12 months and EUR119.2 million (49.7%) since closing. As a result of the deleveraging, over-collateralisation (OC) has increased for the Class A/B, Class C, Class D, and Class E notes. According to the trustee report dated October 2025[1] the Class A/B, Class C, Class D and Class E OC ratios are reported at 151.47%, 133.39%, 121.20% and 110.73% compared to October 2024[2] levels of 142.36%, 128.70%, 119.07% and 110.52%, respectively. Moody's notes that the October 2025 principal payments are not reflected in the reported OC ratios. In light of reinvestment restrictions during the amortisation period, and therefore the limited ability to effect significant changes to the current collateral pool, Moody's analysed the deal assuming a higher likelihood that the collateral pool characteristics would maintain an adequate buffer relative to certain covenant requirements. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: EUR271.7m Defaulted Securities: EUR0 Diversity Score: 44 Weighted Average Rating Factor (WARF): 3119 Weighted Average Life (WAL): 3.2 years Weighted Average Spread (WAS) (before accounting for Euribor floors): 3.76% Weighted Average Coupon (WAC): 4.68% Weighted Average Recovery Rate (WARR): 44.07% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in October 2025. Counterparty Exposure: The rating action took into consideration the notes' exposure to relevant counterparties, such as the account bank and swap counterparties, using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the notes are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: -- Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. -- Long-dated assets: The presence of assets that mature beyond the CLO's legal maturity date exposes the deal to liquidation risk on those assets. Moody's assumes that, at transaction maturity, the liquidation value of such an asset will depend on the nature of the asset as well as the extent to which the asset's maturity lags that of the liabilities. Liquidation values higher than Moody's expectations would have a positive impact on the notes' ratings. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. HARVEST CLO XXXVII: S&P Assigns B-(sf) Rating on Class F Notes -------------------------------------------------------------- S&P Global Ratings assigned credit ratings to Harvest CLO XXXVII DAC's class A, B, C, D, E, and F notes. At closing, the issuer also issued unrated subordinated notes. Under the transaction documents, the rated notes will pay quarterly interest, unless a frequency switch event occurs. Following such an event, the notes would permanently switch to semiannual payments. The portfolio's reinvestment period ends 4.70 years after closing; the non-call 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 experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which are in line with S&P's counterparty rating framework. Portfolio benchmarks S&P Global Ratings' weighted-average rating factor 2,600.39 Default rate dispersion 596.35 Weighted-average life (years) 5.18 Obligor diversity measure 121.00 Industry diversity measure 21.86 Regional diversity measure 1.31 Transaction key metrics Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 0.00 Target 'AAA' weighted-average recovery (%) 36.12 Target floating-rate assets (%) 99.34 Target weighted-average coupon 2.25 Target weighted-average spread (net of floors; %) 3.52 S&P said, "The portfolio is well-diversified at closing. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "In our cash flow analysis, we used the EUR400 million target par amount, the targeted weighted-average spread (3.52%), and the targeted weighted-average coupon (2.25%), as indicated by the collateral manager. We assumed the target 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. "Our credit and cash flow analysis shows that the class B to class E notes benefit from break-even default rate 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 the notes. The class A and F notes can withstand stresses commensurate with the assigned ratings. "For the class F notes, our credit and cash flow analysis indicates 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 notes reflects several key factors, including: -- The class F notes' available credit enhancement, which is in the same range as that of other CLOs we have rated and that have recently been issued in Europe. -- The portfolio's average credit quality, which is similar to other recent CLOs. -- S&P's model generated break-even default rate at the 'B-' rating level of 25.38% (for a portfolio with a weighted-average life of 5.18 years), versus if we were to consider a long-term sustainable default rate of 3.2% for 5.18 years, which would result in a target default rate of 16.58%. -- 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. Following this analysis, we consider that the available credit enhancement for the class F notes is commensurate with the assigned 'B- (sf)' rating. 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. 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. "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 to F 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 to E notes, based on four hypothetical scenarios. "As our ratings analysis includes additional considerations to be incorporated before we would assign ratings in the 'CCC' category--and we would assign a 'B-' rating if the criteria for assigning a 'CCC' category rating are not met--we have not included the above scenario analysis results for the class F notes. Environmental, social, and governance S&P said, "We regard the 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 AAA (sf) 248.00 38.00 3/6-month EURIBOR plus 1.29% B AA (sf) 41.00 27.75 3/6-month EURIBOR plus 1.85% C A (sf) 23.00 22.00 3/6-month EURIBOR plus 2.10% D BBB- (sf) 30.00 14.50 3/6-month EURIBOR plus 2.90% E BB- (sf) 19.00 9.75 3/6-month EURIBOR plus 5.25% F B- (sf) 13.00 6.50 3/6-month EURIBOR plus 8.07% Sub. NR 31.80 N/A N/A *The ratings assigned to the class A and B notes address timely interest and ultimate principal payments. The ratings assigned to the class C, D, E, and F 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.--Subordinated. MAN GLG III: S&P Lowers Class F Notes Rating to 'CCC+(sf)' ---------------------------------------------------------- S&P Global Ratings raised to 'AA+ (sf)' from 'A+ (sf)' and to 'BB+ (sf)' from 'BB (sf)' its credit ratings on Man GLG Euro CLO III DAC's class D and E notes. At the same time, S&P lowered its rating on the class F notes to 'CCC+ (sf)' from 'B- (sf)' and affirmed its 'AAA (sf)' ratings on the class B-1, B-2-R, and C notes. The rating actions follow the application of our relevant criteria and S&P's credit and cash flow analysis of the transaction based on the August 2025 trustee monthly report and the July 2025 trustee payment report. Since S&P's last review in August 2024: -- Approximately EUR63 million of debt has been repaid, increasing credit enhancement for all classes. -- The deleveraging of the senior notes has however increased the weighted-average cost of debt, effectively eliminating any excess spread for the junior notes. -- The pool's overall credit quality has deteriorated, reflected in the higher S&P Global Ratings' weighted-average rating factor. -- The portfolio concentration is higher, with the number of performing obligors falling to 60 from 101 due to the collateral pool's amortization. -- The portfolio's weighted-average life has decreased to 2.74 years from 3.23 years. -- The percentage of 'CCC' rated assets has increased to 16.24% from 9.48% of the S&P Global Ratings' aggregate collateral balance. -- Despite the lower weighted-average life, the scenario default rates have increased for most rating scenarios, reflecting the portfolio's increased concentration and deteriorating credit quality. Table 1 Transaction key metrics As of the August 2025 trustee report Previous review SPWARF 3,222.01 2,982.88 Default rate dispersion 793.02 708.70 Weighted-average life (years) 2.74 3.24 Obligor diversity measure 42.34 68.19 Industry diversity measure 12.976 15.78 Regional diversity measure 1.219 1.20 Total collateral amount (mil. EUR)* 91.85 156.47 Defaulted assets (mil. EUR) 0.00 0.69 'CCC' assets (mil. EUR) 14.92 14.84 Number of performing obligors 60 101 Portfolio weighted-average rating B B 'AAA' SDR (%) 63.35 59.98 'AAA' WARR (%) 35.76 36.55 *Performing assets plus cash and expected recoveries on defaulted assets. SPWARF--S&P Global Ratings' weighted-average rating factor. SDR--scenario default rate. WARR--Weighted-average recovery rate. On the cash flow side: The reinvestment period ended in October 2021. The class A-R notes have completely paid down, and the class B-1 and B-2-R notes have paid down by EUR19.44 million and EUR8.34 million. This has increased the available credit enhancement for all classes of notes. No class of notes are deferring interest. All coverage tests are passing as of the August 2025 trustee report, apart from the class F par value test, which is failing. Table 2 Credit analysis results Current Credit enhancement amount (August 2025 Credit enhancement Class (mil. EUR) trustee report; %) (previous review; %) B-1 3.86 93.99 56.34 B-2-R 1.66 93.99 56.34 C 32.00 59.15 35.89 D 18.00 39.55 24.38 E 19.80 17.99 11.73 F 10.40 6.67 5.08 Sub 38.20 N/A N/A Credit enhancement = [Performing balance + cash balance + recovery on defaulted obligations (if any) – tranche balance (including tranche balance of all senior tranches)] / [Performing balance + cash balance + recovery on defaulted obligations (if any)]. N/A--Not applicable. S&P said, "Following our analysis, we consider that the available credit enhancement for the class B-1, B-2-R, and C notes remains commensurate with the 'AAA' rating level. We therefore affirmed our ratings on the notes. "We raised our ratings on the class D and E notes, considering the increased available credit enhancement. Our cash flow analysis indicated higher ratings than those currently assigned, however, we also considered the portfolio's concentrated nature, the increased 'CCC' concentration, and current macroeconomic conditions. We therefore limited our upgrades of both tranches. "Our credit and cash flow analysis for the class F notes indicated that available credit enhancement was consistent with stresses at a lower rating level. After considering the increasing cost of debt, the portfolio's average credit quality which is lower than that observed in other CLOs, the higher concentration of 'CCC' assets, portfolio concentration, and current macroeconomic conditions, we lowered our rating to 'CCC+ (sf)', in line with our 'CCC' criteria. This reflects our view that the class F notes are currently dependent upon favorable business, financial, and economic conditions to repay." The ratings assigned to the class B-1 and B-2-R notes address timely interest and ultimate principal payments. The ratings assigned to the class C, D, E, and F notes address ultimate interest and principal payments. Following the application of our structured finance sovereign risk criteria, S&P considers the transaction's exposure to country risk to be limited at the assigned ratings, as the exposure to individual sovereigns does not exceed the diversification thresholds outlined in our criteria. Counterparty, operational, and legal risks are adequately mitigated in line with S&P's criteria. Man GLG Euro CLO III DAC is a cash flow CLO transaction securitizing leveraged loans and managed by GLG Partners LP. NORTH WESTERLY X: S&P Assigns B-(sf) Rating on Class F Notes ------------------------------------------------------------ S&P Global Ratings assigned its credit ratings to North Westerly X ESG CLO DAC's class A-1 Loan and A-2 Loan and class A, B, C, D, E, and F notes. At closing, the issuer issued unrated class M-1, M-2, and subordinated notes. Under the transaction documents, the rated loans and notes pay quarterly interest unless a frequency switch event occurs, upon which the loans and notes pay semiannually. This transaction has a 1.5 year noncall period, and the portfolio's reinvestment period will end approximately 4.5 years after closing. The ratings assigned to the loans and notes reflect our assessment of: -- The diversified collateral pool, which primarily comprises broadly syndicated speculative-grade senior secured term loans and bonds 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 loans and notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which are in line with S&P's counterparty rating framework. Portfolio benchmarks S&P Global Ratings weighted-average rating factor 2,642.39 Default rate dispersion 554.25 Weighted-average life (years) including reinvestment period 4.95 Obligor diversity measure 127.51 Industry diversity measure 19.14 Regional diversity measure 1.37 Transaction key metrics Total par amount (mil. EUR) 400.00 Defaulted assets (mil. EUR) 0 Number of performing obligors 152 Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 0.00 'AAA' target portfolio weighted-average recovery (%) 36.67 Target weighted-average spread (net of floor, %) 3.70 Target weighted-average coupon (%) 3.28 Rating 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 primarily comprises broadly syndicated speculative-grade senior secured term loans and bonds on the effective date. Therefore, we conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "In our cash flow analysis, we used the EUR400 million par amount, the target weighted-average spread (3.70%), the target weighted-average coupon (3.28%), and the target portfolio weighted-average recovery rate for 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. "The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our counterparty criteria. "Under our structured finance sovereign risk criteria, we consider that the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. "The transaction's legal structure and framework is bankruptcy remote, in line with our legal criteria. "The operational risk associated with key transaction parties (such as the collateral manager) that provide an essential service to the issuer is in line with our operational risk criteria. "Our credit and cash flow analysis indicate that the available credit enhancement for the class B to F notes could withstand stresses commensurate with higher ratings than those assigned. However, as the CLO is still in its reinvestment phase, during which the transaction's credit risk profile could deteriorate, we capped our assigned ratings on the notes. The class A-1 Loan and A-2 Loan and class A notes can withstand stresses commensurate with the assigned ratings. "In addition to our standard analysis, we also included the sensitivity of the ratings on the A-1 Loan and A-2 Loan and class A to E 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 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. 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." North Westerly X ESG CLO is a European cash flow CLO securitization of a revolving pool, comprising euro-denominated senior secured loans and bonds issued mainly by speculative-grade borrowers. The transaction is co-managed by North Westerly Holding B.V. and Aegon Asset Management UK PLC. Ratings Balance Credit Class Rating* (mil. EUR) enhancement (%) Interest rate§ A AAA (sf) 83.00 38.00 Three/six-month EURIBOR plus 1.31% A-1 Loan AAA (sf) 125.00 38.00 Three/six-month EURIBOR plus 1.31% A-2 Loan AAA (sf) 40.00 38.00 Three/six-month EURIBOR plus 1.31% B AA (sf) 44.00 27.00 Three/six-month EURIBOR plus 1.90% C A (sf) 24.00 21.00 Three/six-month EURIBOR plus 2.25% D BBB- (sf) 28.00 14.00 Three/six-month EURIBOR plus 3.00% E BB- (sf) 18.00 9.50 Three/six-month EURIBOR plus 5.15% F B- (sf) 12.00 6.50 Three/six-month EURIBOR plus 8.00% M-1 NR 15.0 N/A N/A M-2 NR 35.0 N/A N/A Sub. Notes NR 30.20 N/A N/A *The ratings assigned to the class A-1 Loan and A-2 Loan and class A and B notes address timely interest and ultimate principal payments. The ratings assigned to the class C, D, E, and F 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. Sub.--Subordinated. TRINITAS EURO VI: S&P Assigns B-(sf) Rating on Class B-2 Notes -------------------------------------------------------------- S&P Global Ratings assigned its credit ratings to Trinitas Euro CLO VI DAC's class A-R, B-R, C-R, D-R, E-R, and F-R notes. At the closing, the issuer has unrated subordinated notes outstanding from the existing transaction. This transaction is a reset of the already existing transaction. The existing classes of notes--class A, B, C, D, E, and F--were fully redeemed with the proceeds from the issuance of the replacement notes on the reset date. The ratings on the original notes have been withdrawn. The ratings assigned to the reset notes reflect S&P's assessment of: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which are in line with S&P's counterparty rating framework. Portfolio benchmarks S&P Global Ratings' weighted-average rating factor 2,634.90 Default rate dispersion 667.24 Weighted-average life (years) 4.36 Weighted-average life including reinvestment period (years) 4.44 Obligor diversity measure 168.28 Industry diversity measure 23.54 Regional diversity measure 1.29 Transaction key metrics Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 1.55 Actual 'AAA' weighted-average recovery (%) 35.99 Actual weighted-average spread (%) 3.67 Actual weighted-average coupon (%) 5.10 Rating rationale Under the transaction documents, the rated notes pay quarterly interest unless a frequency switch event occurs. Following this, the notes will switch to semi-annual payments. The portfolio's reinvestment period will end approximately 4.4 years after closing while the noncall period will end 1.5 years after closing. The portfolio is well diversified at closing, primarily comprising broadly syndicated speculative-grade senior secured term loans and bonds. Therefore, S&P has conducted its credit and cash flow analysis by applying 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 (3.56%), the covenanted weighted-average coupon (4.00%), the actual portfolio weighted-average recovery rates for all rated notes. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "Under our structured finance sovereign risk criteria, the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. "Until the end of the reinvestment period on April 15, 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 it compares that with the current portfolio's default potential plus par losses to date. As a result, until the end of the reinvestment period, the collateral manager may through trading deteriorate the transaction's current risk profile, if the initial ratings are maintained. "The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our current counterparty criteria. "The transaction's legal structure and framework is bankruptcy remote, in line with our legal criteria. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe the ratings assigned to the class A-R and F-R notes are commensurate with the available credit enhancement. Our credit and cash flow analysis indicates that the available credit enhancement for the class B-R to E-R notes could withstand stresses commensurate with higher rating levels than those we have assigned. However, as the CLO will be in its reinvestment phase starting from closing, during which the transaction's credit risk profile could deteriorate, we have capped our ratings assigned to the notes. "Taking the above factors into account and following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe that the assigned ratings are commensurate with the available credit enhancement for all the rated classes of notes. "In addition to our standard analysis, to provide an indication of how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we have also included the sensitivity of the ratings on the class A-R to E-R notes based on four hypothetical scenarios. "As our ratings analysis makes additional considerations before assigning ratings in the 'CCC' category, and we would assign a 'B-' rating if the criteria for assigning a 'CCC' category rating are not met, we have not included the above scenario analysis results for the class F-R notes." Environmental, social, and governance S&P said, "We regard the exposure to environmental, social, and governance (ESG) credit factors in the transaction as being broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental credit factors is viewed as below average, social credit factors are below average, and governance credit factors are average. For this transaction, the documents prohibit or limit assets from being related to certain industries. Since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Ratings Amount Credit Class Rating* (mil. EUR) enhancement (%) Interest rate§ A-R AAA (sf) 300.00 40.00 3/6-month EURIBOR + 1.30% B-R AA (sf) 64.00 27.20 3/6-month EURIBOR + 1.80% C-R A (sf) 30.60 21.08 3/6-month EURIBOR + 2.20% D-R BBB- (sf) 35.40 14.00 3/6-month EURIBOR + 3.40% E-R BB- (sf) 22.50 9.50 3/6-month EURIBOR + 5.95% F-R B- (sf) 15.00 6.50 3/6-month EURIBOR + 8.51% Sub notes NR 44.04 N/A N/A *The ratings assigned to the class A-R and B-R notes address timely interest and ultimate principal payments. The ratings assigned to the class C-R, D-R, E-R, and F-R notes address ultimate interest and principal payments. The payment frequency switches to semi-annual and the index switches to six-month EURIBOR when a frequency switch event occurs. NR--Not rated. N/A--Not applicable. EURIBOR--Euro Interbank Offered Rate. TRINITAS EURO X: S&P Assigns B-(sf) Rating on Class F Notes ----------------------------------------------------------- S&P Global Ratings assigned its credit ratings to Trinitas Euro CLO X DAC's class A, B, C, D, E, and F and A Loan notes. At closing, the issuer also issued unrated subordinated notes. The ratings assigned to the loan and notes reflect our assessment of: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated loan and notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which are in line with S&P's counterparty rating framework. Portfolio benchmarks S&P Global Ratings' weighted-average rating factor 2,542.67 Default rate dispersion 631.26 Weighted-average life (years) 5.25 Obligor diversity measure 163.08 Industry diversity measure 24.73 Regional diversity measure 1.30 Transaction key metrics Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 0.00 Actual 'AAA' weighted-average recovery (%) 36.37 Actual weighted-average spread (%) 3.55 Actual weighted-average coupon (%) 6.09 Rating rationale Under the transaction documents, the rated loan and notes pay quarterly interest unless a frequency switch event occurs. Following this, the loan and notes will switch to semi-annual payments. The portfolio's reinvestment period will end approximately 4.5 years after closing while the non-call period will end 1.5 years after closing. S&P said, "The portfolio is well-diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans and bonds. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "In our cash flow analysis, we used the EUR400 million target par amount, the target weighted-average spread (3.55%), the target weighted-average coupon (6.09%), the target portfolio weighted-average recovery rates for all rated loan and notes. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "Under our structured finance sovereign risk criteria, the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. "Until the end of the reinvestment period on May 15, 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 loan and notes. This test looks at the total amount of losses that the transaction can sustain as established by the initial cash flows for each rating, and it compares that with the current portfolio's default potential plus par losses to date. As a result, until the end of the reinvestment period, the collateral manager may through trading deteriorate the transaction's current risk profile, if the initial ratings are maintained. "The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our current counterparty criteria. "The transaction's legal structure and framework is bankruptcy remote, in line with our legal criteria. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe the ratings assigned to the class A loan, class A and F notes are commensurate with the available credit enhancement. Our credit and cash flow analysis indicates that the available credit enhancement for the class B to E notes could withstand stresses commensurate with higher rating levels than those we have assigned. However, as the CLO will be in its reinvestment phase starting from closing, during which the transaction's credit risk profile could deteriorate, we have capped our ratings assigned to the loan and notes. "Taking the above factors into account and following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe that the assigned ratings are commensurate with the available credit enhancement for all the rated classes of loan and 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 loan, class A to E 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 notes." Environmental, social, and governance S&P said, "We regard the exposure to environmental, social, and governance (ESG) credit factors in the transaction as being broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental credit factors is viewed as below average, social credit factors are below average, and governance credit factors are average. For this transaction, the documents prohibit or limit assets from being related to certain industries. Since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Ratings Amount Credit Class Rating* (mil. EUR) enhancement (%) Interest rate§ A AAA (sf) 193.80 38.00 3/6-month EURIBOR + 1.30% A Loan AAA (sf) 54.20 38.00 3/6-month EURIBOR + 1.30% B AA (sf) 42.00 27.50 3/6-month EURIBOR + 1.80% C A (sf) 24.00 21.50 3/6-month EURIBOR + 2.15% D BBB- (sf) 29.00 14.25 3/6-month EURIBOR + 2.80% E BB- (sf) 18.50 9.63 3/6-month EURIBOR + 5.05% F B- (sf) 12.50 6.50 3/6-month EURIBOR + 7.90% Sub notes NR 35.30 N/A N/A *The ratings assigned to the class A and B notes and class A Loan address timely interest and ultimate principal payments. The ratings assigned to the class C, D, E, and F notes address ultimate interest and principal payments. The payment frequency switches to semi-annual and the index switches to six-month EURIBOR when a frequency switch event occurs. NR--Not rated. N/A--Not applicable. EURIBOR--Euro Interbank Offered Rate. =========================== U N I T E D K I N G D O M =========================== FORTRESS GLOBAL: FTS Recovery Appointed as Joint Administrators --------------------------------------------------------------- Fortress Global Group Limited entered administration in the High Court of Justice, Business and Property Courts of England and Wales, Insolvency & Companies List (ChD), Court Number CR-2025-00728, and Marco Piacquadio and Rachel Ennis of FTS Recovery Limited were appointed as joint administrators on Nov. 4, 2025. The company engaged in telecommunications activities. Its registered office is at 86/90 Paul Street, London, EC2A 4NE The joint administrators can be reached at: Marco Piacquadio Rachel Ennis FTS Recovery Limited Ground Floor, Baird House Seebeck Place, Knowlhill Milton Keynes, MK5 8FR For further information, contact: The Joint Administrators Tel No: 01908 754 666 Email: marco.piacquadio@ftsrecovery.co.uk Alternative contact: Laura Bodgi Email: laura.bodgi@ftsrecovery.co.uk HUH LTD: Maxwell Davies Appointed as Administrators --------------------------------------------------- HUH. Ltd. entered administration in the High Court of Justice, Court Number CR-2025-001093, and Ruth Ellen Duncan of Maxwell Davies Limited was appointed as administrator on Nov. 5, 2025. The company operated in the retail sale of clothing in specialised stores. Its registered office is at Unit 21a Barton Business Park, New Dover Road, Canterbury, Kent, CT1 3AA Its principal trading address is at Unit 21a Barton Business Park, New Dover Road, Canterbury, Kent, CT1 3AA The administrator can be reached at: Ruth Ellen Duncan Maxwell Davies Limited Vinters Business Park New Cut Road Maidstone, Kent, ME14 5NZ For further information, contact: The Administrator Email: ruth@maxwelldavies.com Alternative contact: aaron@maxwelldavies.com KRL GROUP: Leonard Curtis Appointed as Joint Administrators ----------------------------------------------------------- KRL Group Limited entered administration in the High Court of Justice, Business and Property Courts in Leeds, Insolvency & Companies List (ChD), Court Number CR-2025-001091, and Phil Deyes and Sean Williams of Leonard Curtis were appointed as joint administrators on Nov. 5, 2025. Its registered office is currently at Aldgate House, 1-4 Market Place, Hull, East Yorkshire, HU1 1RS, and will be changed to 9th Floor, 7 Park Row, Leeds, LS1 5HD. Its principal trading address is Billwin House, Malmo Rd, Hull HU7 0YF. The joint administrators can be reached at: Phil Deyes Sean Williams Leonard Curtis 9th Floor, 7 Park Row Leeds, LS1 5HD For further information, contact: The Joint Administrators Email: recovery@leonardcurtis.co.uk Tel No: 0113 323 8890 Alternative contact: Amelia Blythe LIBERTY DELTA 5: Begbies Traynor Appointed as Joint Administrators ------------------------------------------------------------------ Liberty Delta 5 Ltd entered administration in the High Court of Justice, Business and Property Courts of England and Wales, Insolvency & Companies List (ChD), Court Number CR-2025-007851, and Jack Caten and Simon John Killick of Begbies Traynor (London) LLP were appointed as joint administrators on Nov. 7, 2025. The company was engaged in the manufacture of basic iron and steel and ferro-alloys, operated in non-specialised wholesale trade, and carried out activities as a holding company. Its registered office is c/o Specialist Mobility Training Ltd, Unit 6, Juno Drive, Leamington Spa, CV31 3RG. The joint administrators can be reached at: Jack Caten Simon John Killick Begbies Traynor (London) LLP 31st Floor, 40 Bank Street London, E14 5NR For further information, contact: Vida Urbutiene Email: vida.urbutiene@btguk.com Tel No: 020 7516 1500 LUXURY WATCH: Begbies Traynor Appointed as Joint Administrators --------------------------------------------------------------- Luxury Watch Repairs Limited entered administration in the High Court of Justice, Business and Property Courts of England and Wales, Insolvency & Companies List (ChD), Court Number CR-2025-007785, and Paul Weber and David Rubin of Begbies Traynor (London) LLP were appointed as joint administrators on Nov. 6, 2025. The company engaged in the repair of watches, clocks and jewellery. Its registered office is at Pearl Assurance House, 319 Ballards Lane, London, N12 8LY The joint administrators can be reached at: Paul Weber David Rubin Begbies Traynor (London) LLP Pearl Assurance House 319 Ballards Lane London, N12 8LY For further information, contact: Rionesa Svarca Email: et.team@btguk.com Tel No: 020 8343 5900 SHEPPERTON BUILDERS: Seneca IP Appointed as Joint Administrators ---------------------------------------------------------------- Shepperton Builders Limited entered administration in the High Court of Justice, Business and Property Courts of England and Wales, Court Number CR-2025-007645, and John Hedger and Anthony Murphy were appointed as joint administrators on Oct. 31, 2025. The company engaged in commercial property development. Its registered office is at 11 Lansdowne Court, Bumpers Way, Bumpers Farm, Chippenham, SN14 6RZ The joint administrators can be reached at: John Hedger Seneca IP Limited Speedwell Mill Old Coach Road Tansley, Matlock, DE4 5FY Anthony Murphy Kantara Restructuring Limited Westgate House 9 Holborn London, EC1N 2LL For further information, contact: Ben Leaney Email: ben.leaney@seneca-ip.co.uk Tel No: 01629 761700 SOUTHERN PACIFIC 06-A: S&P Affirms 'BB+(sf)' Rating on D1 Notes --------------------------------------------------------------- S&P Global Ratings raised to 'AAA (sf)' and 'AA (sf)' from 'A+ (sf)' its credit ratings on Southern Pacific Financing 06-A PLC's class B and C notes, respectively. At the same time, S&P affirmed its 'BB+ (sf)' rating on the class D1 notes and its 'CCC (sf)' rating on the class E notes. S&P has resolved the UCO placements of all classes of notes. Performance has shown minor deterioration since S&P's previous review in May 2024. As per the September 2025 investor report, arrears have increased to 30.5% from 28.1% since March 2024. The increase in arrears primarily reflects the reduced pool size rather than an actual increase in arrears. Cumulative losses had a slight uptick since our previous review to 3.20% from 3.19%. S&P said, "Our weighted-average foreclosure frequency (WAFF) assumptions have increased at all rating levels, reflecting the higher arrears. This has been partially offset by lower weighted-average loss severity assumptions, stemming from a decrease in the current loan-to-value ratio following house price index growth. However, considering the transaction's historical loss severity levels, the latest available data suggests that the portfolio's underlying properties may have only partially benefited from rising house prices, so we have therefore applied a haircut to the property valuations to reflect this." Portfolio WAFF and WALS Rating level WAFF (%) WALS (%) Credit coverage (%) AAA 57.31 18.15 10.40 AA 53.13 12.54 6.66 A 50.21 4.41 2.22 BBB 47.07 2.00 0.94 BB 43.64 2.00 0.87 B 42.78 2.00 0.86 WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. The reserve fund is at target, and it is not amortizing after breaching 90+ days arrears and cumulative loss triggers. The liquidity facility is at target and is amortizing. Given the sequential amortization, credit enhancement has increased since S&P's previous review. This offsets the higher WAFF in our cash flow analysis. S&P said, "The application of our revised counterparty criteria no longer constrains the ratings in this transaction at 'A+'. The notes were capped due the exposure to the bank account provider, Barclays Bank PLC, which failed to take remedial actions in 2012, when it was downgraded. Under the revised criteria, we can remove the cap if we believe there is sufficient available credit enhancement, if a reason for the failure to implement a committed remedial action is provided, and if S&P believes the transaction's performance is satisfactory." Given the high level of available credit enhancement, the transaction's robust performance, and the fact that Barclays Bank attempted to remedy following its downgrade but ultimately decided against this due to potential operational risks arising from a replacement, S&P removed the cap on the notes imposed by the bank account. S&P said, "Considering our updated credit and cash flow analysis results, we believe that the available credit enhancement for the class B notes is sufficient to withstand higher rating stresses. We therefore raised to 'AAA (sf)' from 'A+ (sf)'our rating on these notes. Moreover, we expect this class to be fully repaid by the next interest payment date, as only £444,742.62 remained outstanding as of the September 2025 investor report. "We raised our rating on the class C notes to 'AA (sf)' from 'A+ (sf)', given that available credit enhancement is sufficient to withstand higher rating stresses. "Our rating on the class D1 notes remains highly sensitive to the transaction's performance. We therefore did not raise our rating on this tranche despite increased available credit enhancement, given the very high level of severe arrears, the nonconforming nature of the borrowers, the tranche's sensitivity to recovery timing, and the potential tail-end risk associated with the large share of interest-only loans. Moreover, considering the legacy nature of the assets, we believe that the pool's loss severity may align more closely with the historical levels in the investor report, rather than our weighted-average loss severity (WALS) assumptions, which had improved significantly following recent house price index data. We therefore performed additional WALS sensitivity runs for the junior tranches to assess the impact of a potential increase in this assumption. Based on these results, we affirmed our 'BB+ (sf)' rating. "The class E notes still do not achieve any rating in our cash flow analysis due to principal shortfalls. We still believe the tranche relies on favorable economic or financial conditions to service its debt. Therefore, we affirmed our 'CCC (sf)' rating. "We consider the transaction's resilience in case of additional stresses to some key variables, in particular defaults and loss severity, to determine our forward-looking view. We considered the sensitivity of the ratings to increased defaults, increased recoveries, extended recoveries, and higher interest rates, and the ratings remain robust. Given its high seasoning (238 months), the transaction has a low pool factor (5.53%), which tends to amplify movement in arrears. We have considered the tail-end risk associated with the low pool factor in our analysis." The loan pool comprises first- and second-ranking mortgages on properties in England and Wales, and standard securities on properties in Scotland. ********* 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 * * *