/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/240829.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, August 29, 2024, Vol. 25, No. 174 Headlines B E L G I U M CASPR-1 SARL: Fitch Affirms 'BB+sf' Rating on Class D Notes C Y P R U S G CITY EUROPE: Moody's Cuts CFR to B3 & Alters Outlook to Stable RONIN EUROPE: S&P Upgrades LT ICR to 'BB-', Outlook Stable F R A N C E FOUNDEVER GROUP: EUR1BB Bank Debt Trades at 30% Discount I R E L A N D PALMER SQUARE 2023-2: Fitch Puts Final 'BB+sf' Rating to E-R Notes L U X E M B O U R G TRAVELPORT FINANCE: $1.96BB Bank Debt Trades at 60% Discount TRAVELPORT FINANCE: $2.80BB Bank Debt Trades at 60% Discount U N I T E D K I N G D O M ADVANCED BIOMASS: Creditors Must Submit Proof of Claim by Sept. 5 AUXEY MIDCO: Moody's Affirms 'B2' CFR & Alters Outlook to Stable BRACCAN MORTGAGE 2024-1: S&P Assigns Prelim 'B-' Rating to X Notes DURHAM MORTGAGES B: S&P Assigns B (sf) Rating to Class F Notes DURHAM MORTGAGES: Fitch Assigns 'Bsf' Final Rating to Class F Notes TOWER BRIDGE 2024-3: S&P Assigns Prelim B- (sf) Rating to X Notes YIELD APP: Creditors' Virtual Meeting Scheduled for Today - - - - - ============= B E L G I U M ============= CASPR-1 SARL: Fitch Affirms 'BB+sf' Rating on Class D Notes ----------------------------------------------------------- Fitch Ratings has affirmed CASPR S.a r.l. Compartment CASPR-1's notes, as detailed below. Entity/Debt Rating Prior ----------- ------ ----- CASPR S.a r.l. Compartment CASPR-1 A XS2265971742 LT AAsf Affirmed AAsf B XS2265972559 LT A+sf Affirmed A+sf C XS2265972807 LT BBB+sf Affirmed BBB+sf D XS2265973011 LT BB+sf Affirmed BB+sf Transaction Summary The transaction is a synthetic securitisation of a residential loans portfolio originated by AXA Bank Belgium (ABB). The proceeds were used to fund a credit default swap (CDS) that protects the originator from losses of the reference portfolio. The reference portfolio consists of mortgage loans secured by residential properties in Belgium. The transaction is designed for risk-transfer and capital-relief purposes. KEY RATING DRIVERS Weak Asset Performance: The transaction's asset default trend is worse than its expectations, with gross cumulative defaults reaching 5.8% as of April 2024. The higher-than-expected defaults were considered in its modelling, by applying a performance adjustment factor (PAF) of 200% to the weighted average foreclosure frequency (WAFF). As a result, the expected-case WAFF is currently at 7.0%, compared with 3.9% at closing in December 2020. Higher Credit Enhancement; Recoveries Vulnerable: Credit enhancement (CE) has increased since closing to 7.6% from 6.0% g for the class A notes, 4.4% from 3.5% for the class B notes and 1.7% from 1.3% for the class C notes, but the ratings remain vulnerable to observed recoveries being lower than modelled recoveries. Currently, the transaction exhibits a high cure rate, ie. 62% of the defaulted loans have become performing again. As of 29 April 2024, no loss has been recorded to the notes, due to protection provided by a synthetic excess spread ledger. Excessive Counterparty Exposure: The proceeds used to fund the CDS are deposited in the deposit account held by Bank of New York Mellon S.A./N.V., Luxembourg Branch (BoNY, AA/Stable/F1+). These funds will be used for the payments under the CDS and to amortise the notes. If the funds are totally or partially lost due to a deposit account bank default the notes would not be reimbursed. As a result, the rating of the notes is limited to the rating of BoNY, Luxembourg Branch. Resilience of Investment-Grade Notes: Fitch considered in its analysis the resilience of the transaction to unforeseen events that could increase the number of defaulted reference obligations without leading to a final loss. These events could translate into a "temporary write-off" of the notes leading to a reduction on the interest paid to noteholders. Investment-grade notes have sufficient CE not to be written off if 25% of the portfolio is in default and the expected losses are calculated using the current ABB's IFRS provisioning percentage. This test currently limits the class D notes' rating to non-investment grade. Exposure to ABB: Under the CDS, the issuer bears the risk of losses from the reference portfolio. Following the default of a loan, the issuer will pay the expected loss to ABB. At the end of the recovery process, the final loss will be known, giving rise to an adjustment payment. If the expected loss is larger than the final loss, ABB will pay the difference to the issuer. If ABB defaults on the adjustment payment, it may result on a loss for the notes. Fitch has limited the rating of the notes to a stress scenario where the available CE offsets the exposure to ABB. Higher-Risk Portfolio: The reference portfolio has been selected among the higher-risk loans in the book of ABB and have a weaker credit profile than what is typically seen in Belgian RMBS transactions. The pool consists of loans originated with original LTVs of close to 90% and a debt-to-income distribution skewed toward the highest buckets. The selection of this higher-risk portfolio translates into weaker asset performance than average Belgian RMBS portfolios. Governance Impact: CASPR-1's exposure to BoNY as deposit account provider, whose default would result in redemption funds being lost, leads to the class A notes rating being capped by that of BoNY. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Factors That Could, Individually or Collectively, Lead to Negative Ratings Action/Downgrade: Reducing recoveries by 10% would result in the class A notes being downgraded by two notches to 'A+sf', the class B notes by two notches to 'A-sf', and the class C notes by two notches to 'BBB-sf'. It would have no impact on the class D notes rating. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Decreasing defaults by 15% and increasing recoveries by 15% would result in the class B and C notes being upgraded to 'AAsf'. The class A notes' rating would remain unchanged as it is capped by the rating of the account bank. The class D notes' rating would be unchanged as it is limited to non-investment grade due to a lack of resilience to unforeseen events. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Prior to the transaction closing, Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations CASPR-1 has an ESG Relevance Score of '5' for Transaction Parties & Operational Risk due to the exposure to BoNY as deposit account provider, whose default would result in a loss of redemption funds. As a result, Fitch has capped and linked the rating of the class A notes to that of BoNY. This has a negative impact on the credit profile and is highly relevant to the rating in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. =========== C Y P R U S =========== G CITY EUROPE: Moody's Cuts CFR to B3 & Alters Outlook to Stable ---------------------------------------------------------------- Moody's Ratings has downgraded to B3 from B2 the long-term corporate family rating and senior unsecured bond ratings of G City Europe Limited ("G City Europe" or "the company", formerly known as Atrium European Real Estate Limited). Concurrently, Moody's have downgraded the ratings on G City Europe's subordinate notes to Caa2 from Caa1 and downgraded Atrium Finance PLC's (Atrium) backed senior unsecured euro medium term notes to B3 from B2. The outlook on both entities has been changed to stable from negative. RATINGS RATIONALE RATIONALE FOR THE RATING OUTLOOK The downgrade to B3 results from a combination of factors that are weakening the credit profile of the company. Moody's consider the ongoing and increasing liquidity linkage and outflows to the company's owner G City Ltd. a governance concern that is increasingly negatively affecting the rating. The linkage has increased with above EUR100 million lending under an RCF and a recently signed vendor loan. Furthermore, G City Europe has not yet secured the full liquidity for the September 2025 bond maturity (excluding a repayment of the facility granted to its parents), while Moody's understand various workstreams to address liquidity are in progress. Moody's also expect a reduction in financial flexibility through asset encumbrance to address the transition from an unsecured to a secured debt funding structure and to deal with hybrid securities within a sustainable capital structure. These elements overcompensate G City Europe's robust operating performance, a good track record of asset disposals and Moody's expectation of credit metrics improvements. Consequently, the stable outlook reflects Moody's expectation of continued robust operating performance, credit metrics improvements and the expectation that refinancing needs will be addressed on a timely basis. G City Europe's credit profile will remain fundamentally supported by a well performing set of mainly retail assets in Central Eastern Europe (CEE), with a focus on Poland. The company's retail assets have shown a resilient performance post Covid despite economic and structural challenges. Moody's expect the company's controlled development and acquisition pipeline in the multifamily residential for rent segment to improve the portfolio's quality and business profile over time. G City Europe has been successful and continues to sell assets in a difficult market that generate cash proceeds for its investments and refinancing needs, while the exit of Russia came at a large discount. High financial leverage with Moody's-adjusted debt/assets of 58% as of H1 2024 is a weakness while Moody's expect leverage to improve through further disposals in particular. Financial leverage positions the company strongly for its rating but is less of a rating driver at this point. The company requires further funding through disposals and secured debt for both refinancing of the company's bond maturities and to fund the remaining moderating development pipeline. The company's (unencumbered) asset base and balance sheet has been shrinking, reducing financial flexibility. Given refinancing will happen at higher interest rates forward, Moody's envisage a declining fixed charge coverage ratio from the 1.9x as of H1 2024. The stable outlook balances a remaining refinancing risk for the 2025 bonds with various workstreams started by the company to address liquidity concerns and a payment commitment by the parent company ahead of bond maturity. Moody's expect the Targowek disposals to be channeled into a repayment of the bonds, while further disposals or new secured loans would be sourced to make up for the remaining amount. LIQUIDITY Moody's view G City Europe's liquidity position to be highly dependent on liquidity requirements of the broader group / the parent. Liquidity management is done on a group-wide level, which weakens the standalone position of G City Europe given disposal success provided material cash inflows for G City Europe. In the last 2 years, G City Europe changed from being a receiver of support from the parent (in financial terms) to being a provider of support. G City Europe historically received short terms loans from its parents as liquidity support and bonds were held by its parents. As of June 2024, G City Europe provided above EUR100 million under a credit facility to its parent, it supports a loan taken out by the parent with a guarantee, and it did provide a vendor loan in an intra group asset transfer post H1 2024 reporting date. On a standalone basis, G City Europe's liquidity position is sufficient until September 2025, but is weak considering the upcoming bond maturity. The company had around EUR20 million cash on balance sheet as of June 30, 2024. The company has limited liquidity needs from capital spending that Moody's estimate at about EUR25-40 million annually for FY 2024 and FY 2025. The 2025 bond has a EUR237 million balance as of June 30, 2024. In July 2024, the company sold its Targowek asset to its parent for a gross consideration of EUR230.5 million that resulted in a net cash inflow of EUR156.2 million as G City Europe subsequently funded a PLN 299.4m (EUR70.5 million, or 30% of value) vendor loan to its parent. G City Europe will need to generate some further liquidity to address the September 2025 bond maturity but is working on various initiatives to address the remaining liquidity requirements. One option is the execution of the disposal of Flora. The company has signed an LOI for the Flora assets with a total asset held for sale balance of EUR254 million accompanied by a EUR144 million liability held for sale, while other discounts and cash outflows may reduce net liquidity inflows. The company works on other smaller divestments as well. G City Europe has further unencumbered assets that can be encumbered if bank appetite exists while also some of the previous vendor loans may have incentives to be repaid. Ultimately G City Europe's EUR102 million loan under its credit facility to its parent is also due ahead of the loan maturity, but Moody's do not consider this as an external source. STRUCTURAL CONSIDERATIONS The majority class of debt has turned to secured debt, ahead of senior unsecured debt and hybrid debt. The financial flexibility is declining with the expected encumbrance of further assets to generate liquidity. At this point Moody's continue to reflect that the hybrid bonds provide subordination support to the senior unsecured notes, which results in the senior unsecured note rating being aligned with the CFR. Further asset encumbrance can nevertheless result in a downgrade of the senior unsecured notes due to subordination. The Caa2 rating on the subordinated hybrid notes issued by G City Europe reflects the deeply subordinated nature of the hybrid notes. The subordinated hybrid notes no longer qualify for equity treatment under Moody's Hybrid Equity Credit methodology after the downgrade of G City Europe to a non-investment-grade company. The first reset date for the subordinate hybrid notes is in 2026. Moreover, G City Europe has access to a subordinated facility from G City Ltd., maturing in 2026. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS An upgrade could occur if the refinancing risk and the credit and liquidity exposure to G City Europe's parent was to materially decline, while maintaining Moody's-adjusted debt/total assets well below 60%. Given further unsecured maturities beyond 2025 Moody's expect disposals to continue and would expect a stable fixed charge cover above 1.5x. Factors that could lead to a downgrade: -- Failure to secure further third party liquidity to address the September 2025 bond maturity within the next few months -- Further material cash payments or an increased exposure to the parent entity or a deterioration of credit quality of G City Ltd. -- Operational weakness in the company's retail assets -- Moody's-adjusted debt/total asset stays well above deteriorates above 60% -- Moody's-adjusted fixed charge cover drops below 1.3x The senior unsecured note ratings may get notched down from the corporate family rating if the amount of unencumbered assets continue to shrink. The principal methodology used in these ratings was REITs and Other Commercial Real Estate Firms published in February 2024. PROFILE G City Europe owns a EUR1.8 billion portfolio of 11 retail assets and 4 residential assets plus EUR229 million of development and land assets as of June 2024. The company generated gross rental income of EUR55 million during the first 6 months of 2024. The company is focused on the more stable CEE countries of Poland (A2 stable) and the Czech Republic (Aa3 stable), while the asset in the Czech Republic is held for sale. G City Europe is a private subsidiary of G City Ltd., an Israel-listed property company. RONIN EUROPE: S&P Upgrades LT ICR to 'BB-', Outlook Stable ---------------------------------------------------------- S&P Global Ratings raised its long-term issuer credit rating on Ronin Europe Ltd. (REL) to 'BB-'. The outlook is stable. At the same time, S&P affirmed its 'B' short-term issuer credit rating on REL. Over recent years, the investment holding company Blodgettex Finance Ltd., has become more integrated with the rest of the Ronin Partners group. This includes both absorption of excess liquidity from Ronin Partners B.V. and operational dependency since the whole group now employs only about 34 people, post spin-off of Russian operations, mostly at the level of REL. As a result, we define the group parent to be Blodgettex rather than Ronin Partners, and the 'bb-' group credit profile (GCP) describes our view of the credit strength of the consolidated group that comprises Blodgettex and its subsidiaries. S&P continues to consider REL a core subsidiary of the group, being the only client-facing licensed entity and the primary entity of employment for personnel. S&P said, "We expect that the group will continue to manage its bond portfolios in a conservative manner. As interest rates increased over 2022, REL and its affiliates successfully reallocated their portfolio toward highly creditworthy issuers, mostly from developed markets, achieving a weighted-average credit rating of about 'A-' as of June 2024. Over 2023-2024 it divested Russia-related securities that now constitute less than 5% of the portfolio, compared with more than 20% one year before. While the group has somewhat increased the duration of its book (to 4.8 in mid-2024 from 3.5 in 2023), in the context of the interest rate cycle we do not think this suggests a materially higher risk appetite. "Client business is set to expand but will remain concentrated. REL's customer assets stagnated over 2022-2023 on the back of customers' divestment of their Russian securities and the negative valuation effects that rising policy rates had on fixed-income instruments. However, we understand that REL has been entering new markets, resulting in a sizable projected increase in custody and brokerage fees. However, growth will remain concentrated on a handful of customers, with REL largely still a boutique institution. "The stable outlook reflects our view that, over the next 12-18 months, the group will maintain high credit quality of its bond portfolio while gradually building up REL's client business in new markets. We also expect that Blodgettex's actions will remain supportive of REL's strong capitalization." Upside scenario A positive rating action on REL is unlikely in the near term as S&P sees the 'bb-' GCP as unlikely to improve, given the group's concentrated business profile relative to other peers in the 'bb' category. Downside scenario S&P could lower the long-term rating on REL if: -- The group's risk appetite increases materially, for example through investments in riskier securities or a substantial increase in leverage; or -- S&P sees REL's importance for the group decline because of a loss of clientele or lower focus on brokerage business. =========== F R A N C E =========== FOUNDEVER GROUP: EUR1BB Bank Debt Trades at 30% Discount -------------------------------------------------------- Participations in a syndicated loan under which Foundever Group SA is a borrower were trading in the secondary market around 69.8 cents-on-the-dollar during the week ended Friday, Aug. 23, 2024, according to Bloomberg's Evaluated Pricing service data. The EUR1 billion Term loan facility is scheduled to mature on August 28, 2028. The amount is fully drawn and outstanding. Foundever Group S.A., domiciled in Luxembourg, is a leading global provider of CX products and solutions. Foundever generated $3.7 billion revenue for the twelve months ended March 31, 2024. The company is owned by the Creadev Investment Fund (Creadev), which is controlled by the Mulliez family of France. ============= I R E L A N D ============= PALMER SQUARE 2023-2: Fitch Puts Final 'BB+sf' Rating to E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned Palmer Square European Loan Funding 2023-2 DAC refinancing notes final ratings, as detailed below. Entity/Debt Rating Prior ----------- ------ ----- Palmer Square European Loan Funding 2023-2 DAC Class A XS2648491285 LT PIFsf Paid In Full AAAsf Class A-R XS2878983712 LT AAAsf New Rating Class B XS2648491525 LT PIFsf Paid In Full AAsf Class B-R XS2878983985 LT AA+sf New Rating Class C XS2648491871 LT PIFsf Paid In Full Asf Class C-R XS2878984108 LT A+sf New Rating Class D XS2648492259 LT PIFsf Paid In Full BBBsf Class D-R XS2878984363 LT BBB+sf New Rating Class E XS2648492333 LT PIFsf Paid In Full BBsf Class E-R XS2878984520 LT BB+sf New Rating Transaction Summary Palmer Square European Loan Funding 2023-2 DAC is an arbitrage cash flow collateralised loan obligation (CLO) that is being serviced by Palmer Square Europe Capital Management LLC (Palmer Square). The transaction has a static pool with a remaining weighted average life of 3.9 years as of the August 2024 report date. At the closing of the refinance, the class A-R, B-R, C-R, D-R and E-R notes were issued at reduced margins, and the proceeds have been used to pay down the existing notes. The subordinated notes were not refinanced. KEY RATING DRIVERS 'B' Portfolio Credit Quality: Fitch places the average credit quality of obligors at the 'B' category. The Fitch-calculated weighted average rating factor (WARF) of the current portfolio is 24.4. High Recovery Expectations: Senior secured obligations and first-lien loans make up around 98.5% of the portfolio. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch-calculated weighted average recovery rate (WARR) of the current portfolio is 63.8%. Diversified Portfolio Composition: The three largest industries comprise 30.4% of the portfolio balance, the top 10 obligors represent 13.7% of the portfolio balance and the largest obligor represents 1.4% of the portfolio. Stable Performance; Static Portfolio: The transaction does not have a reinvestment period and discretionary sales are not permitted. The class A notes, which have been refinanced by class A-R notes with the same outstanding balance, have paid down by 21.9% since the transaction closed in August 2023 including EUR27.3 million since its June 2024 review. Fitch's analysis is based on the current portfolio, which it stressed by applying a one-notch reduction to all obligors with a Negative Outlook (floored at CCC-), which in turn is 13.3% of the portfolio. Post the adjustment on Negative Outlook, the WARF of the portfolio is 25.4. Deviation from MIR: The one-notch deviation from the model-implied ratings (MIR) for the class B-R and C-R notes reflects the limited default-rate cushions on the Fitch-stressed portfolio at their MIRs. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A 25% increase of the mean default rate (RDR) across all ratings and a 25% decrease of the recovery rate (RRR) across all ratings of the current portfolio would lead to downgrades of no more than one notch for the rated notes. Downgrades, which are based on the current portfolio, may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of default and portfolio deterioration. Due to the better WARF of the current portfolio than the Fitch-stressed portfolio and the deviation from MIRs, the class B-R, D-R and E-R notes display a rating cushion of one notch and the class C-R notes a rating cushion of two notches. Should the cushion between the current portfolio and the Fitch-stressed portfolio erode due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR across all ratings and a 25% decrease of the RRR across all ratings of the stressed portfolio would lead to downgrades of up to two notches for the rated notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the mean RDR across all ratings and a 25% increase in the RRR across all ratings of the Fitch-stressed portfolio would lead to upgrades of up to three notches for the rated notes, except for the 'AAAsf' rated notes. Upgrades, except for the 'AAAsf' notes, may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognised statistical rating organisations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS Fitch does not provide ESG relevance scores for Palmer Square European Loan Funding 2023-2 DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. =================== L U X E M B O U R G =================== TRAVELPORT FINANCE: $1.96BB Bank Debt Trades at 60% Discount ------------------------------------------------------------ Participations in a syndicated loan under which Travelport Finance Luxembourg Sarl is a borrower were trading in the secondary market around 40.1 cents-on-the-dollar during the week ended Friday, Aug. 23, 2024, according to Bloomberg's Evaluated Pricing service data. The $1.96 billion Term loan facility is scheduled to mature on May 29, 2026. The amount is fully drawn and outstanding. Travelport Finance Luxembourg Sarl operates as a subsidiary of Travelport Holdings Ltd. The Company's country of domicile is Luxembourg. TRAVELPORT FINANCE: $2.80BB Bank Debt Trades at 60% Discount ------------------------------------------------------------ Participations in a syndicated loan under which Travelport Finance Luxembourg Sarl is a borrower were trading in the secondary market around 40.1 cents-on-the-dollar during the week ended Friday, Aug. 23, 2024, according to Bloomberg's Evaluated Pricing service data. The $2.80 billion Term loan facility is scheduled to mature on May 30, 2026. About $37 million of the loan is withdrawn and outstanding. Travelport Finance Luxembourg Sarl operates as a subsidiary of Travelport Holdings Ltd. The Company's country of domicile is Luxembourg. =========================== U N I T E D K I N G D O M =========================== ADVANCED BIOMASS: Creditors Must Submit Proof of Claim by Sept. 5 ----------------------------------------------------------------- Pursuant to Rule 14.28 of the Insolvency (England and Wales) Rules 2016, Liquidator Andrew Dix of AD Business Recovery Limited located at 2nd Floor, Mistrete House, 29 New Street, Chelmsford, Essex, CM1 1NT, United Kingdom, and who was appointed on July 22, 2024, intends to declare a first and final distribution to all creditors of Advanced Biomass Solutions Limited within the period of two months from the last date for proving specified below. Creditors who have not yet done so must prove their debts by sending their full names and addresses, particulars of their debts or claims, and the names and addresses of their solicitors if any), to the Liquidator at 2nd Floor, Milstrete House, 29 New Street, Chelmsford, Essex, CM1 1NT, United Kingdom no later than September 5, 2024 (the last date for proving). The distribution may be made without regard to the claim of any person in respect of a debt not proved. Note: The Directors of the Company have made a declaration of solvency and its expected that all creditors will be paid in full. In accordance with the provisions of Part 14 of the Insolvency (England and Wales) Rule 2016, a creditor whose debt is a "small debt" not exceeding GBP1,000 is required prove their debt as described by this notice, by requirement of the liquidator. For further details contact: Andrew Dix Liquidator AD Business Recovery Limited Tel: +44 (0) 1245 673420 E-mail: info@adbusinessrecovery.co.uk Alternative contact: Patricia Marsh AUXEY MIDCO: Moody's Affirms 'B2' CFR & Alters Outlook to Stable ---------------------------------------------------------------- Moody's Ratings has affirmed Auxey Midco Limited's (Alexander Mann Solutions or AMS, or the company) B2 corporate family rating and its B2-PD probability of default rating. The B2 rating is also affirmed on the GBP40 million backed senior secured revolving credit facility (RCF) due 2026, the GBP115 million backed senior secured term loan B1 (GBP TLB) due 2027, both issued by Auxey Bidco Ltd, and the amortising USD332.5 million backed senior secured term loan B1 (USD TLB) due 2027 issued by Alexander Mann Solutions Corporation; both issuers are fully owned subsidiaries of AMS. The rating outlook for all entities has changed to stable from positive. Alexander Mann Solutions' EBITDA and credit metrics have been impacted in the past 12 months by the global slowdown of the recruitment market, which Moody's believe should start to slowly recover in 2025. AMS has demonstrated its ability to flex its cost base and Moody's expect the company to return to profitability in line with 2022, its strongest year to date, in the second half of 2024." Says Stefano Cavalleri Vice President - Senior Analyst at Moody's Ratings and lead analyst for AMS. "Moody's also view AMS likely to recover ahead of traditional recruiters once the market improves because of the company's operational integration with its clients and its large global contractual customer base", Cavalleri added. RATINGS RATIONALE The change in outlook to stable from positive reflects the company not having met Moody's initial forecast for 2023 and Moody's revised expectations that AMS' EBITDA is to remain below GBP100 million in the next 12 months. Moody's adjusted debt to EBITDA increased to just above 6.0x in 2023 from 4.4x in 2022 and Moody's expect it to stabilize at around 5.75x for the full year 2024, before returning within Moody's upper guidance of 5.0x by the end of 2025. Moody's also expect the company liquidity to deteriorate in 2024, as Moody's no longer expect positive Moody's adjusted free cash flow (FCF); however, liquidity remains adequate supported by the RCF and increased invoice discounting facilities. The company's B2 CFR, which was affirmed, reflects (1) AMS's established leading position in the Recruitment Process Outsourcing (RPO) market; (2) growth of RPO market supported by increased outsourcing trend of support functions in large companies and regional consolidation; (3) good revenue visibility supported by long-term contracts, high retention rates of blue-chip clients and recently signed contracts still being in a ramp-up phase (min 18-24 months to reach full potential); and (4) good track record of conversion of existing pipeline and improved geographical diversification. The B2 rating is constrained, however, by (1) the cyclical nature of the staffing industry, and largely volume-based contractual revenues; (2) relatively small scale and scope compared to leading generalist staffing companies; (3) remaining geographic concentration in the UK and to financial services sector; and (4) customer concentration that is intrinsic in the business model, albeit reducing due to new client wins. LIQUIDITY AMS's liquidity is adequate in the next 15 months, underpinned by GBP57 million cash on balance sheet at end of March 2024 and a GBP40 million RCF undrawn as at the end of March 2024. Moody's expect AMS to be free cash flow positive in 2025. The company also benefits from invoice discounting facilities GBP and USD of just short of GBP65 million to manage working capital as its client payment terms tend to be longer than its contingent workers monthly payroll book. The UK invoice discounting facility was increased to GBP60 million in March 2024 from GBP36 million and it is now sufficient to manage working capital, reducing the need to utilize the RCF which Moody's expect to remain undrawn for the rest of the year. RATIONALE FOR THE STABLE OUTLOOK The stable rating outlook reflects Moody's view that EBITDA growth will remain constrained in the next 6-9 months, as the company is adjusting to a soft global recruitment market and limited visibility on when its clients will increase hiring volumes. Moody's adjusted gross debt to EBITDA will remain elevated in 2024 and decline below Moody's downgrade guidance of 5.0x only during 2025. The stable outlook also assumes that AMS' Moody's adjusted EBITDA margins are to further improve and that the company will not embark on any debt-financed transformational acquisitions, nor make any shareholders' distributions. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Upward rating pressure is unlikely in the next 12-18 months, however, it could develop once Moody's-adjusted debt/EBITDA decreases below 4.0x, the company's profitability continues to improve and RCF/Net debt is trending towards 20%, all on a sustainable basis. An upgrade would also require AMS to improve its liquidity profile. The rating could experience downward pressure if Moody's-adjusted debt/EBITDA were to increase above 5.0x on a sustainable basis, Moody's adjusted free cash flow remains negative or around zero and the company experiences a deterioration in client retention metrics. Aggressive debt-funded acquisitions or shareholder distributions could also trigger a rating downgrade. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Business and Consumer Services published in November 2021. COMPANY PROFILE Auxey Midco Limited is an indirect holding company of Alexander Mann Solutions, a leading Business Process Outsourcer in the human resources and recruiting industry. The group reported revenue of GBP559 million and EBITDA of GBP71 million (company adjusted) in the full year 2023. BRACCAN MORTGAGE 2024-1: S&P Assigns Prelim 'B-' Rating to X Notes ------------------------------------------------------------------ S&P Global Ratings assigned preliminary ratings to Braccan Mortgage Funding 2024-1 PLC's (Braccan 2024-1) class A, B, C-Dfrd, D-Dfrd, and X-Dfrd notes. Braccan 2024-1 is an RMBS transaction that securitizes a portfolio of buy-to-let (BTL) and owner-occupied mortgage loans secured on properties in the U.K. The loans in the pool were originated between 2015 and 2024, with most originated in 2024, by Paratus AMC Ltd., a nonbank specialist lender. The loans were originated under the Foundation Home Loans (FHL) brand. The collateral comprises first-lien U.K. BTL residential mortgage loans (70.3%), and owner-occupied mortgages (29.7%) advanced to complex income borrowers with limited credit impairments. There is high exposure to self-employed borrowers and first-time buyers within the owner-occupied proportion of the pool. At closing, the issuer will use the issuance proceeds to purchase the full beneficial interest in the mortgage loans from the seller. The issuer grants security over all its assets in favor of the security trustee. There are no rating constraints in the transaction under S&P's counterparty, operational risk, or structured finance sovereign risk criteria. It considers the issuer to be bankruptcy remote. Preliminary ratings CLASS PRELIM. RATING* CLASS SIZE (%) A AAA (sf) 89.50 B AA- (sf) 5.75 C-Dfrd A (sf) 3.00 D-Dfrd BBB+ (sf) 1.75 X-Dfrd B- (sf) 2.50 Z NR 0.50 RC1 Residual Certs NR N/A RC2 Residual Certs NR N/A *S&P's preliminary ratings address timely receipt of interest and ultimate repayment of principal on the class A and B notes, and the ultimate payment of interest and principal on all the other rated notes. Its preliminary ratings also address timely receipt of interest and full immediate repayment of all previously deferred interest on the class C–Dfrd, D-Dfrd, and X-Dfrd notes when they become the most senior outstanding. NR--Not rated. N/A--Not applicable. DURHAM MORTGAGES B: S&P Assigns B (sf) Rating to Class F Notes -------------------------------------------------------------- S&P Global Ratings assigned credit ratings to Durham Mortgages B PLC's class A, B-Dfrd, C-Dfrd, D-Dfrd, E-Dfrd, F-Dfrd, and X-Dfrd U.K. RMBS notes. At closing, Durham Mortgages B also issued unrated class Z and R notes and unrated X and Y certificates. The transaction is a second refinancing of the Durham Mortgages B PLC transaction, which closed in May 2018 (the original transaction), and was refinanced in August 2021. S&P has based its credit analysis on the pool, which totals GBP1.05 billion. The pool comprises first-lien U.K. residential mortgage loans that Bradford & Bingley PLC (B&B), Close Brothers Ltd., GMAC-RFC Ltd., Kensington Mortgage Company Ltd. (KMC), and Mortgage Express PLC (MX) originated. The loans are secured on properties in England, Wales, Scotland, and Northern Ireland and were originated between 1998 and 2008. The underlying loans in the securitized portfolio are serviced by Topaz Finance Ltd. Topaz Finance is a subsidiary of Computershare Mortgage Services Ltd. (CMS). S&P reviewed CMS' servicing and default management processes and are satisfied that it can perform its functions in the transaction. The pool comprises buy-to-let (BTL) properties. The collateral performance has historically been better than S&P's legacy BTL index, but arrears have exceeded the index since the beginning of 2023. All the loans in the portfolio are more than 10 years seasoned. S&P said, "Our rating on the class A notes addresses the timely payment of interest and the ultimate payment of principal. Our ratings on the class B-Dfrd to F-Dfrd notes and X-Dfrd notes reflect the ultimate payment of interest and principal. Our rating definitions are in line with the notes' terms and conditions." The timely payment of interest on the class A notes is supported by the principal borrowing mechanism, the general reserve, and the liquidity reserve. These reserve funds are funded at closing. S&P said, "Our cash flow analysis indicates that the available credit enhancement for the class B-Dfrd, C-Dfrd, D-Dfrd, E-Dfrd, and F-Dfrd notes is commensurate with higher ratings than those currently assigned. The ratings on these notes reflect their ability to withstand the potential repercussions of the cost of living crisis, including extended recovery timings and higher default sensitivities. We also considered their relative positions in the capital structure, and potential increased exposure to tail-end risk. In our analysis, the class X-Dfrd notes are unable to withstand the stresses we apply at our 'B' rating level. We consider that meeting the obligations of this class of notes relies on favorable business, financial, and economic conditions. Consequently, we assigned a 'CCC (sf)' rating to the notes in line with our criteria." There is no swap counterparty to hedge the mismatch between the interest rate paid under the loans and the interest rate paid under the notes. There are no rating constraints in the transaction under S&P's counterparty, operational risk, or structured finance sovereign risk criteria. S&P considers the issuer to be bankruptcy remote. Ratings CLASS RATING* CLASS BALANCE (MIL. GBP) X certs NR N/A A AAA (sf) 837.604 B-Dfrd AA+ (sf) 47.411 C-Dfrd AA- (sf) 48.465 D-Dfrd A- (sf) 35.295 E-Dfrd BB+ (sf) 29.500 F-Dfrd B (sf) 18.437 Z NR 36.875 R NR 21.545 X-Dfrd CCC (sf) 10.535 Y certs NR N/A *S&P's rating on the class A notes addresses timely receipt of interest and ultimate repayment of principal. Its ratings on the class B-Dfrd to F-Dfrd and X-Dfrd notes address the payment of ultimate principal and interest. The X certificates pay a fixed rate on the outstanding balance of the loans. The class R and X notes are not collateralized by the pool assets. Dfrd–-Deferred. N/A--Not applicable. NR--Not rated. DURHAM MORTGAGES: Fitch Assigns 'Bsf' Final Rating to Class F Notes ------------------------------------------------------------------- Fitch Ratings has assigned Durham Mortgages B PLC's (Durham B) notes final ratings, as detailed below. Entity/Debt Rating ----------- ------ Durham Mortgages B PLC Class A XS2873490929 LT AAAsf New Rating Class B XS2873491067 LT AA+sf New Rating Class C XS2873517804 LT A+sf New Rating Class D XS2873545250 LT BBB+sf New Rating Class E XS2873545680 LT BBsf New Rating Class F XS2873545847 LT Bsf New Rating Class R XS2873546225 LT NRsf New Rating Class X XS2873546571 LT CCsf New Rating Class Z XS2873546068 LT NRsf New Rating Transaction Summary Durham B is the second refinancing of first-lien residential buy-to-let (BTL) mortgage loans originated in the UK by multiple lenders. The asset pool was originally securitised in 2018 and refinanced in 2021 under Durham Mortgages B PLC (which shares the same name as the current deal, and was not rated by Fitch). KEY RATING DRIVERS Seasoned Loans: The loan collateral was primarily originated before the global financial crisis (GFC), with the pool exhibiting a weighted average (WA) seasoning of 17.8 years. The pool has benefited significantly from house price indexation, resulting in a WA indexed current loan-to-value (CLTV) of 51.4% and a WA sustainable LTV (sLTV) of 63.9%. The WA original loan-to-value (OLTV) of the pool stands at 87.3%. Negative Originator Adjustment: When setting the originator adjustment, Fitch considered the historical performance of the asset pool from previous transactions containing these loans. Durham B has shown significantly worse performance in both early-stage and late-stage arrears compared with other legacy BTL deals where a lender adjustment of 1.0x was applied to the weighted average foreclosure frequency (WAFF). Specifically, early-stage arrears have consistently been above peers', with the average ratio of one-month-plus (1m+) arrears since 2019 being twice as high as that observed in other pools. Late-stage arrears have surged over the last two years in line with rising interest rates, with three-month-plus (3m+) arrears reaching 10.9% in May 2024. Given this recent underperformance, Fitch applied a lender adjustment of 1.2x on top of its base BTL matrix assumptions. Low-Margin Assets: The pool predominantly consists of interest-only (IO) loans (98.3%), mainly tracking the Bank of England interest rate (74%), but also includes loans linked to the standard variable rate (12.9%) and SONIA rate (13.2%). The low WA margin of 1.5% will lead to low excess spread over the life of the transaction, potentially necessitating the use of principal to pay interest on the notes. The pool also includes 4.6% of defaulted loans at closing, which will not generate any cash flows except for recoveries, leading to further yield compression. The limited amount of excess spread drives the class X notes' distressed rating. Deviation from MIR (Criteria Variation): The collateral performance may worsen and excess spread will likely be further depressed, given the rising arrears trend and lower recoveries observed in the pool. Fitch accounted for this in its analysis by assigning ratings in line with a 15% decrease in the WA recovery rate (WARR). The assigned ratings are two notches below the base model-implied ratings (MIR) for the class C and D notes, three notches for the class E notes and four notches for the class F notes. This led to a criteria variation due to the final ratings being more than one notch below their MIRs. Fitch has also assigned the class B notes rating at one notch below the MIR, in line with the sensitivity analysis, which does not constitute a criteria variation. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The transaction's performance may be affected by changes in market conditions and the economic environment. Weakening economic performance is strongly correlated to increasing levels of delinquencies and defaults that could reduce the credit enhancement available to the notes. In addition, unexpected declines in recoveries could result in lower net proceeds, which may make some notes' ratings susceptible to negative rating action depending on the extent of the decline in recoveries. Fitch found that a 15% increase in the WAFF and a 15% decrease in the WARR will have no impact on the class E notes and would lead to downgrades of no more than one notch for the class A to D notes and two notches for the class F notes. The class X notes would retain distressed ratings in this scenario. 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 a decrease in the WAFF of 15% and an increase in the WARR of 15% would lead to upgrades of no more than one notch for the class B notes, four notches for the class C notes, two rating categories for the class D and E notes and three rating categories for the class F notes. The class A notes are at the highest achievable rating on Fitch's scale and cannot be upgraded. The class X notes would retain their distressed rating in this scenario. CRITERIA VARIATION Fitch's criteria permit a rating to be assigned that is one notch higher or lower than the MIR based on other qualitative or quantitative factors that are not captured directly in the modelling. Fitch applied a criteria variation and assigned ratings in line with a 15% WARR sensitivity reduction. The assigned ratings are two notches below the base MIRs for the class C and D notes, three notches for the class E notes and four notches for the class F notes. This led to a criteria variation due to the final ratings being more than one notch below the MIR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte. The third-party due diligence described in Form 15E focused on the verification of data fields contained within the loan-level data against the loan system. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. 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. TOWER BRIDGE 2024-3: S&P Assigns Prelim B- (sf) Rating to X Notes ----------------------------------------------------------------- S&P Global Ratings assigned preliminary credit ratings to Tower Bridge Funding 2024-3 PLC's class A, B-Dfrd, C-Dfrd, D-Dfrd, E-Dfrd, and X-Dfrd notes. At closing, the issuer will issue unrated Z notes and certificates. This is an RMBS transaction that securitizes a portfolio of buy-to-let (BTL) and owner-occupied mortgage loans secured on properties in the U.K. At closing, the issuer will prefund the acquisition of an additional portfolio (subject to compliance with the respective eligibility criteria) approximately 16.4% of the total transaction size that may be purchased before and up to the first interest payment date. Belmont Green Finance Ltd. (BGFL), a nonbank specialist lender, originated the loans in the preliminary pool between 2017 and 2024 via its specialist mortgage lending brand, Vida Homeloans. Approximately 25.7% of the assets in the transaction were previously securitized in prior Tower Bridge transactions that we rated. The loans were acquired from the respective transactions by the seller either as part of a call option being exercised or where loans were repurchased because product switch limits were reached in the transactions. The collateral comprises complex income borrowers with limited credit impairments, and has a high exposure to self-employed, contractors, and first-time buyers. Approximately 71.0% of the preliminary pool comprises BTL loans and the remaining are owner-occupier loans. The transaction documentation permits product switches and further advances until the step-up date, subject to certain conditions. The transaction will benefit from a fully funded general reserve fund, which provides credit support to the class A to class E-Dfrd notes. The transaction has a liquidity reserve fund, funded initially via the principal waterfall, to provide liquidity support to the class A and B-Dfrd notes. Principal can be used to pay senior fees and interest on the rated notes subject to conditions. 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 its assets in the security trustee's favor. There are no rating constraints in the transaction under our counterparty, operational risk, or structured finance sovereign risk criteria. S&P expects the issuer to be bankruptcy remote at closing. At closing, BGFL will be the mortgage administrator, with servicing delegated to Homeloan Management Ltd., part of the Computershare group. Preliminary ratings CLASS PRELIM. RATING* AMOUNT (%) A AAA (sf) 87.00 B-Dfrd AA (sf) 6.50 C-Dfrd A (sf) 3.25 D-Dfrd BBB- (sf) 2.75 E-Dfrd BB (sf) 0.50 X-Dfrd B- (sf) 2.00 Z NR 1.50 Certs NR N/A *S&P's preliminary 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 all the other rated notes. Its ratings also address timely receipt of interest on the class B–Dfrd to E-Dfrd notes when they become the most senior outstanding and full immediate repayment of all previously deferred interest. NR--Not rated. N/A--Not applicable. YIELD APP: Creditors' Virtual Meeting Scheduled for Today --------------------------------------------------------- A virtual meeting of the creditors of Yield App Limited (In Liquidation) is being convened by Stephen Cork and Hadley Chilton as Joint Liquidators today, Thursday, August 29, 2024 at 11:00 a.m. (UK time) pursuant to s305 Part XVII, Sub-Part III of the International Business Companies, Act, 2016 (as amended). The purpose of the meeting is to receive a report as to the actions of the Joint Liquidators, ratify the appointment of Mr. Cork and Mr. Chilton as Joint Liquidators, and establish a Creditors' Committee. To access the virtual meeting and vote, creditors must pre-register their attendance and submit completed voting forms no later than 11:59 a.m. (UK time), August 28, 2024. Creditors are instructed to contact the Joint Liquidators at yieldapp@corkgully.com to register their attendance and to obtain a copy of the voting form, if required. ********* 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 2024. 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 * * *