/raid1/www/Hosts/bankrupt/TCREUR

/raid1/www/Hosts/bankrupt/TCREUR_Public/241230.mbx T R O U B L E D C O M P A N Y R E P O R T E R E U R O P E Monday, December 30, 2024, Vol. 25, No. 1 Headlines F R A N C E COLISEE GROUP: Moody's Affirms 'B3' CFR, Alters Outlook to Neg. EOS FINCO: Moody's Lowers CFR & Senior Secured Term Loans to Caa2 KEREIS: Moody's Affirms 'B2' CFR, Outlook Remains Stable G E R M A N Y MAHLE GMBH: Moody's Affirms 'Ba2' CFR, Alters Outlook to Negative ZF FRIEDRICHSHAFEN: Moody's Downgrades CFR to Ba2, Outlook Stable I R E L A N D INVESCO EURO XIV: Fitch Assigns 'B-sf' Final Rating to Cl. F Notes TIKEHAU CLO: Fitch Hikes Rating on Class F-RR Debt to 'B+sf' TRINITAS EURO VIII: Fitch Assigns B-sf Final Rating to Cl. F Notes I T A L Y ALMAVIVA SPA: Fitch Affirms 'BB' Long-Term IDR, Outlook Stable N E T H E R L A N D S AMMEGA GROUP: Fitch Affirms 'B-' Long-Term IDR, Outlook Stable HILL FL 2022-1: Moody's Lowers Rating on EUR12.5MM D Notes to Ba1 S P A I N AUTONORIA SPAIN 2019: DBRS Confirms C Rating on Class G Notes BANCAJA 9: Fitch Affirms 'CCsf' Rating on Class E Notes JERONIMO FUNDING: Fitch Assigns 'B(EXP)sf' Rating to Class F Debt S W E D E N SAMHALLSBYGGNADSBOLAGET I: Fitch Assigns 'CCC+' Long-Term IDR SBB PARENT: Fitch Lowers LongTerm IDR to CCC & Keeps Watch Neg. T U R K E Y TURKCELL ILETISIM: Fitch Affirms 'BB-' LongTerm IDR, Outlook Stable U N I T E D K I N G D O M EDENBROOK MORTGAGE: Moody's Affirms Ba1 Rating on GBP4.6MM E Notes SURPIQUE ACQUISITION: Fitch Puts 'CCC-' LongTerm IDR on Watch Neg. TIME GB (BRECON): FRP Advisory Named as Joint Administrators TOUCHPOINT LIVE: LA Business Named as Administrators UK LOGISTICS 2024-2: DBRS Finalizes BB Rating on Class E Notes VIRIDIS DAC: DBRS Keeps Class D Notes 'BB' Rating Under Review- Neg WARWICK FINANCE: DBRS Confirms BB(high) Rating on Class E Notes WMPROP GROUP: FRP Advisory Named as Joint Administrators X X X X X X X X [*] BOND PRICING: For the Week December 23 to December 27, 2024 - - - - - =========== F R A N C E =========== COLISEE GROUP: Moody's Affirms 'B3' CFR, Alters Outlook to Neg. --------------------------------------------------------------- Moody's Ratings has affirmed the B3 corporate family rating and the B3-PD probability of default rating of Colisee Group (Colisee or the company). At the same time, Moody's have affirmed the B3 instrument ratings of its senior secured bank credit facilities, including term loans and a revolving credit facility (RCF), all maturing in 2027. The outlook has been changed to negative from stable. RATINGS RATIONALE The affirmation of the ratings and change in outlook to negative reflect the rapid deterioration of Colisee's key credit metrics over the first nine months of 2024 and Moody's expectations that they gradually recover over the next 12-18 months. In particular, Moody's forecast that Colisee's Moody's-adjusted gross leverage will trend below 8x (10x as of September 2024), its Moody's-adjusted EBITA to interest expense will remain weak but move to around 1x, and that its Moody's-adjusted free cash flow (FCF) will gradually return to positive over the next 12-18 months. The B3 rating remains supported by currently adequate liquidity. The company's operating performance has deteriorated materially over the first nine months of 2024 with a year-to-date company-adjusted EBITDA (pre-IFRS16) of EUR89 million, which is about 35% lower than the previous year, mainly driven by cost inefficiencies and weak execution of the previous management, despite good topline performance from higher occupancy rates and accommodation tariffs. The company has identified several cost efficiency measures in France and Belgium, and the new management expects these will support material improvements in EBITDA from now to 2026. According to management, the plan has started to yield benefits of about EUR14 million of run-rate EBITDA gains on annualized basis since its implementation in October, and Moody's expect the company's EBITDA to grow sequentially on a quarterly basis from its lowest point in Q3 2024. Moody's acknowledge the deep experience of the company's new CEO, who joined Colisee in October, on restructuring and managing companies under operational difficulties, and the management's detailed operational improvement plan. However, Moody's believe that there are some execution risks to the plan, which could delay the improvement of key credit metrics that Moody's expect over the next 12 months, and in turn lead to a downgrade of the ratings. Furthermore, there will be implementation costs linked to the plan that will weigh on Moody's-adjusted metrics, at least over the next two years. Moody's forecast that Colisee's revenue growth will be in the mid-single digit range in percentage terms over the next 12-18 months, mainly driven by price increases, and occupancy rates recovery. Moody's do not expect the company to pursue material external growth over the next 12-18 months, as Moody's expect Colisee to focus on its operational improvement plan and on cash generation. The B3 rating is also supported by Colisee's strong position in the French and Belgian nursing care markets; high and growing demand for dependent care, driven by an ageing population; and high barriers to entry for and regulatory limits on new care facilities. Conversely, the rating is constrained by Colisee's weak credit metrics and high fixed-cost base, which requires high occupancy rates to support margins. OUTLOOK The negative outlook reflects some execution risks to the company's operational plan which could delay the improvement of key credit metrics and notably prevent the company from deleveraging to below 8x over the next 12-18 months as per Moody's current expectations. LIQUIDITY Colisee has an adequate liquidity but has been weakening due to the negative FCF. As of September 30, 2024, the company had a cash balance of EUR29 million and EUR138 million available under its EUR217.6 million RCF, maturing in May 2027, which is also the next significant debt maturity. While the company saw a material improvement in cash flow generation over Q3 2024, Moody's estimate that its Moody's-adjusted FCF will remain negative in 2024, moving to break-even levels in 2025 and to around EUR25 to EUR30 million in 2026. Moody's understand the company is looking to dispose of some real estate assets over the next few quarters which should further support liquidity. Colisee has a portfolio of real estate assets totaling around EUR300 million of which more than two thirds is unencumbered. The RCF is subject to a springing maintenance covenant, tested quarterly if the RCF is drawn by 40%, which limits senior secured net leverage to 9.85x. Moody's expect Colisee to remain in compliance with the covenant, if tested, over the next 12-18 months. Senior secured net leverage, as defined by the debt indenture, was 6.96x as of September 30, 2024. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The ratings could be upgraded if a recovery in margins and earnings leads to Moody's-adjusted debt/EBITDA comfortably below 7.0x (based on the company's rent multiple of around 8x) on a sustained basis; Moody's-adjusted EBITA/interest rises towards 2.0x; and the company maintains a solid liquidity profile including positive Moody's-adjusted free cash flow. The outlook could be stabilised if Colisee successfully implements its operational improvement plan evidencing sustained growth in EBITDA and improvement of its key credit metrics over the next 12-18 months to levels in line with its B3 rating. The ratings could be downgraded if Colisee fails to improve its EBITDA margin and earnings on a sustainable basis in the coming quarters, as per Moody's expectations, or if its liquidity position weakens. Quantitatively, this could be evidenced by Moody's-adjusted debt/EBITDA remaining above 8.0x sustainably; Moody's-adjusted EBITA/interest remaining below 1x sustainably; or if it fails to improve cash generation which for example could lead to a sustained negative Moody's-adjusted free cash flow. The ratings could also be downgraded if the company's debt maturities are not addressed on a timely basis. STRUCTURAL CONSIDERATIONS The B3-PD PDR, in line with the CFR, reflects Moody's assumption of a 50% family recovery rate, typical for covenant-lite secured loan structures. The B3 ratings on the senior secured Term Loan B, Term Loan B3 and the RCF reflect their pari passu ranking, with upstream guarantees from material subsidiaries representing at least 80% of EBITDA. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Business and Consumer Services published in November 2021. COMPANY PROFILE Colisee Group, headquartered in Paris, France, is the fourth-largest private operator of nursing homes in Europe. The group operated 391 facilities and around 33,300 beds as of September 2024. The group is mainly present in France, Belgium and Spain, but it also has a smaller presence in Italy. Colisee generated net revenue of EUR1,634 million and company-adjusted EBITDA (pre-IFRS16) of EUR134 million for the twelve months ended in September 2024. Patrick Teycheney founded Colisee in 1989. EQT Infrastructure has owned a controlling stake in Colisee since October 2020, while Caisse de dépôt et placement du Québec, the Teycheney family and management own minority stakes. EOS FINCO: Moody's Lowers CFR & Senior Secured Term Loans to Caa2 ----------------------------------------------------------------- Moody's Ratings has downgraded Eos Finco S.a.r.l.'s (Netceed or the company) long term corporate family rating to Caa2, from B3, and the probability of default rating to Caa2-PD, from B3-PD. Concurrently, Moody's have downgraded to Caa2, from B3, the ratings on the EUR1,553 million equivalent backed senior secured term loans (TLs), split in EUR and USD, and the EUR230 million backed senior secured multi-currency revolving credit facility (RCF). The outlook remains negative. "The rating action reflects Moody's expectation that the company's operating performance and credit metrics will be materially weaker than Moody's initially expected" says Sarah Nicolini, a Moody's Ratings Vice President-Senior Analyst and lead analyst for Netceed. "As a result, the company's probability of default has increased, given that liquidity has weakened and its capital structure became unsustainable", adds Ms Nicolini. RATINGS RATIONALE In the last twelve months ended September 2024, revenue declined by around 39% year over year, while the company reported EBITDA contracted by 54%, well beyond Moody's previous expectations, and reached EUR120 million, on a pro forma basis including the full year impact of Amadys SA's (Amadys) and BTV Multimedia GmbH's (BTV) acquisitions. Netceed's operating performance continued to deteriorate as a consequence of the significant lower demand from major telecom operators and in particularly from CSC Holdings, LLC (Altice US, Caa2 negative) and Altice France Holding S.A. (Caa2 negative), as well as the ongoing destocking across geographies and projects delays in the US. Because of the earnings decline, Moody's adjusted debt/EBITDA increased to 13.1x at September 2024, from 8.2x on a pro forma basis at December 2023, while Moody's adjusted free cash flow (FCF) remained negative and Moody's adjusted EBITA/interest expenses weakened further to 0.6x, compared to 1.2x on a pro forma basis at December 2023. The company has announced various strategies to mitigate the decline in profitability and enhance liquidity, including a (1) cost saving programme of approximately EUR60 million; (2) working capital improvement between EUR43 million and EUR75 million, mostly driven by inventories and payment terms optimization, (3) increasing usage of the factoring facility and (4) sale and lease-back or remortgaging of non-core assets for an estimated EUR21 million. In addition, Netceed is developing a strategic plan to enter the data center and AI market which could generate incremental revenue. However, given the challenging trading conditions, a potential earnings recovery and any deleveraging trajectory remain uncertain. As a result, Moody's expect the capital structure to remain unsustainable. LIQUIDITY Netceed's liquidity is weak. As of September 2024, the company had EUR82 million of cash. The committed EUR230 million backed senior secured multi-currency RCF, maturing in October 2028, has been fully drawn as of December 18. The RCF has a springing covenant on net leverage, tested quarterly if drawn by 40%. Moody's expect the covenant to be complied with over the next 12 months, albeit with a tight headroom. Moody's expect the company to generate negative FCF at an average EUR40 million per year, on a Moody's adjusted basis, over the next 12-18 months. However, the cash burn could be higher if the company doesn't manage to reduce its working capital which increased the risk of a liquidity shortfall over the next quarters. The USD tranche of the backed senior secured TLs foresees quarterly repayments equaling EUR40 million per year starting from 2025. The company will face a maturity wall between October 2028 and October 2029, when the backed senior secured multi-currency RCF and the backed senior secured TLs will respectively mature. ESG CONSIDERATIONS Governance is a key rating driver for the rating action, because of the company's financial policy that creates elevated risks of a debt restructuring. For this reason, Moody's changed the assessment of the company's Financial Strategy and Risk Management to 5, from 4, the overall exposure to governance risks (Issuer Profile Score or "IPS") to 5 (G-5), from G-4, and Netceed's Credit Impact Score to 5 (CIS-5), from 4. STRUCTURAL CONSIDERATIONS The Caa2 ratings assigned to the TLs and RCF, in line with the CFR, reflect their pari passu ranking in the capital structure, a collateral package comprising substantially all assets of the US subsidiary guarantors among other things, and upstream guarantees from material subsidiaries of the group representing 80% of EBITDA. RATIONALE FOR THE NEGATIVE OUTLOOK The negative outlook reflects the limited visibility around a potential recovery in operating performance over the next 12 months. It also incorporates risks that the measures the company is undertaking to prevent further drops in profitability and cash flow might not be sufficient, should the market remain challenging for a prolonged time. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Positive pressure on the rating is unlikely over the next 12-18 months but could develop if the company is able to show sustainable increases in operating performance such that its capital structure become more sustainable, with improving liquidity. Negative pressure could materialize if operating performance continues to deteriorate, resulting in further weakening of credit metric and of liquidity that could lead to increased risks of default, with potentially lower recoveries than those assumed in the current Caa2 rating. The principal methodology used in these ratings was Distribution and Supply Chain Services published in December 2024. COMPANY PROFILE Headquartered in France, Eos Finco S.a.r.l. is a leading global distributor of telecom equipment. Its product offering spans more than 50,000 stock-keeping units across fixed and mobile technologies, and active and passive equipment. The company generated revenue of around EUR1.1 billion in the last twelve months ended September 2024, pro forma for the acquisitions of BTV and Amadys. The company is owned by Cinven (54% of share capital), the founder, Cedric Varasteh (20% of share capital), Carlyle (14%) and management (12%). KEREIS: Moody's Affirms 'B2' CFR, Outlook Remains Stable -------------------------------------------------------- Moody's Ratings has affirmed the B2 Corporate Family Rating and the B2-PD Probability of Default Rating of Kereis. Concurrently, Moody's have affirmed the B2 ratings of the backed Senior Secured Bank Credit Facility (Senior Secured 1st Lien Revolving Credit Facility) issued by Kereis, and the B2 Senior Secured Bank Credit Facility (senior secured 1st Lien Term Loan B1) issued by Kereis Holding. The outlook on all entities remains stable. Kereis is the leading brokerage firm for credit protection insurance in France, with a 25% market share in the French loan insurance segment. Since 2020, Kereis is held by Bridgepoint, a pan-European private equity investor. RATINGS RATIONALE The affirmation of Kereis' B2 CFR reflects the resilience in group's profits and cash flow generation in spite of the slowdown of the French housing market as well its increasing geographic diversification. In 2023, Kereis reported a 4% increase in EBITDA to EUR168 million in spite of a sluggish French housing loan market. In the first nine months of 2024, the negative operating environment had a more pronounced impact, as the company reported a 3% decrease in gross revenues to EUR297 million and EBITDA proforma fell by 11% to EUR127 million. The resilience of the group's performance benefits from the spreading of the group's revenues over several years, which explains the lag between the decrease in the French housing loan market and Kereis' revenues, and the long duration of Kereis' contracts, which make the company's profits less sensitive to new production. Kereis' performance in the last years also benefitted from legislation changes such as the Lemoine law, allowing to switch loan insurer more easily which boosted renegotiations, and by increasing diversification. The company's niche in the French loan and credit insurance brokerage market (which contributed to approximately half of the group's revenues in 2023) is complemented by its diversification into protection and health insurance sectors, covering worker protection, retirement, and individual health products. Additionally, Kereis has expanded its operations beyond France, with significant activities in Germany, Spain, Italy, and Belgium. Cash flows also remained strong, with a 92% conversion ratio and a cash position increased to EUR144 million from EUR106 million at YE 2023. Kereis' ratings are also supported by its very strong EBITDA margin (44% in 2023 and 47% on average in the last five years). Nonetheless, Kereis remains of limited size compared to its global peers, reporting EUR330 million in gross revenues for FY 2023. The group's leverage ratio also increased to 6.9x at the end of 2023, primarily due to a tap issuance that raised its debt to EUR965 million and EBITDA growth not fully compensating for the debt increase. Moody's do not expect further significant debt hikes. The company plans to continue its M&A activities, funded by cash or the expanded credit facility, while the cash sweep mechanism in its senior secured loan is anticipated to help stabilize or reduce leverage. In December 2023, Kereis Holding proceeded with a tap issuance of EUR100 million on its first-lien senior secured term loan. The proceeds were used to repay the second-lien term loan and to finance external growth. As of September 2024, the total amount outstanding for the first-lien term loan is EUR965 million, of which EUR420 million are issued by Kereis, and EUR645 million are issued by Kereis Holding. The affirmation of the B2 rating on the EUR965 million first lien senior secured Term loan due in 2027 issued by Kereis Holding and Kereis, and of the B2 rating on the EUR105 million senior secured first lien revolver due in 2026 by Kereis, reflects Moody's view of the probability of default of Kereis, along with Moody's Loss Given Default (LGD) assessment of the debt obligations and the absence of strong covenants. OUTLOOK The stable outlook reflects Moody's view that Kereis aims at further improving its business profile by continuing to increase diversification and gaining in size, while maintaining a financial leverage at or below the current level, in the 5.5-6.5x range, and posting EBITDA margins in the 40%-45% range in the next 12-18 months. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS Factors that could lead to an upgrade of Kereis' ratings include: (i) a decrease in the financial leverage, as evidenced by an adjusted debt-to-EBITDA ratio maintained below 5.5x on a sustained basis, or (ii) a material increase in Kereis' size and/or business and geographic diversification, without materially affecting profitability, in particular EBITDA margin. Conversely, a negative rating action on the ratings could occur if (i) adjusted debt-to-EBITDA ratio were to increase above 7x, or (ii) the EBITDA margin were to contract below 30% on a sustained basis, or (iii) the liquidity profile were to deteriorate, as evidenced by a decreased to nil FCF-to-debt ratio. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Insurance Brokers and Service Companies published in February 2024. ============= G E R M A N Y ============= MAHLE GMBH: Moody's Affirms 'Ba2' CFR, Alters Outlook to Negative ----------------------------------------------------------------- Moody's Ratings has affirmed MAHLE GmbH's (MAHLE or the company) long term corporate family rating at Ba2 and the probability of default rating at Ba2-PD. Furthermore, Moody's have affirmed the company's senior unsecured notes at Ba3, the senior unsecured euro medium term note programme rating at (P)Ba3 and the guaranteed senior unsecured notes at Ba2. The outlook on the entity was changed to negative from stable. "The outlook change has been prompted by the rapid deterioration of the automotive sector environment, which will weaken MAHLE's credit metrics to levels which will be weak for the Ba2 rating category within the next 12-18 months", says Matthias Heck, a Moody's Ratings Vice President – Senior Credit Officer and Lead Analyst for MAHLE. "The company's measures to restore profitability will help to stabilize metrics, and the good liquidity supports the affirmation. The rating, however, remains vulnerable to a continued cyclical and structural weakness of the automotive industry", adds Mr. Heck. RATINGS RATIONALE On December 2, MAHLE presented Q3 results, including a 50 basis points lower EBITDA margin of 4.6%, and a EUR70 million negative free cash flow, according to company-definition, before interest expense. MAHLE's net leverage ratio (company definition) amounted to 1.3x, supported by disposal proceeds from the sale of BHTC GmbH (BHTC) in Q2 2024. As a result of the ongoing weak automotive sector environment, MAHLE lowered its full-year sales expectation by EUR0.5 billion to around EUR11.5 billion, narrowed its EBITDA margin guidance to 7.5-8.0% (previously 7.5%-8.5%), and lowered its free cash flow guidance to EUR300-350 million (previously around EUR400 million). As a result, MAHLE now expects a company-defined net leverage of around 1.4x at year-end 2024 (previously 1.2x). After meeting Moody's quantitative expectations for the Ba2 rating in 2023, Moody's expect that MAHLE's credit metrics will fall short of Moody's expectations in 2024, and remain weak in 2025. On a Moody's adjusted basis, the revised free cash flow guidance points to a negative free cash flow this year, as Moody's deduct asset disposal proceeds (mainly the BHTC sale of EUR225 million), interest expense and dividend payments (together around EUR220 million). On a Moody's adjusted basis (excluding book gains such as from BHTC), Moody's expect EBIT margin to decline this year to around 2.0%, from 3.1% in 2023. This also means a shortfall versus Moody's minimum expectation of 3% for the Ba2. MAHLE's debt/EBITDA will increase to slightly above 4x in 2024, driven by lower EBITDA and roughly stable gross debt (despite asset disposal proceeds and reflective of ongoing high tax payments). company has initiated cost savings measures, including headcount reduction of around 3,500 people, to mitigate ongoing lower and volatile market volumes. Even with a moderate recovery in volumes in 2025, Moody's expect that margins and leverage will remain weakly positioned for the Ba2 rating next year, while likely meeting Moody's expectations in 2026. Furthermore, on November 29, MAHLE announced measures to streamline the group structure starting January 2025, by reducing the number of business units to three from five, reducing the number of management board members to four from seven, and fully taking over the thermal management entity MAHLE Behr by buying the remaining 25% from minority shareholders. Moody's consider the proposed measures as credit positive, because of a relatively moderate transaction price and meaningful operational and tax synergies. The Ba2 CFR reflects as positives the company's (1) size & scale as a large global tier 1 automotive parts supplier, with annual revenues of EUR12.8 billion in 2023 and a well-diversified Original Equipment Manufacturer (OEM) customer base, (2) top 3 market position in its main product categories of engine systems and components, filtration and engine peripherals and thermal management, (3) positive strategic alignment with a strategy to address the disruptive automotive industry trend of electrification by using cash flow generated in the internal combustion engines (ICE) business to further broaden and grow its exposure to electric vehicle platforms and products that are not dependent on the powertrain (4) conservative financial policy, as reflected in a history of relatively low financial leverage and modest shareholder distributions, and (5) good liquidity profile. The rating reflects as negatives the company's (1) exposure to the cyclicality of automotive production, which has passed its peak in 2018 and is expected to return to previous peak levels only in the second half of decade, (2) relatively low margins, given the highly competitive sector environment, limited ability to timely and completely pass-on higher production cost, and weak free cash flow generation over the last few years, (3) high investment needs into R&D and capex to make the product portfolio more independent from ICEs, (4) challenges related to carbon transition, given the high dependency on products for internal combustion engines, at a time where automakers have accelerated their electrification targets, and (5) credit metrics, which are weak for the Ba2 rating category but are expected to improve within the next 12-18 months and meet Moody's expectations in 2026, at the latest. RATIONALE FOR THE NEGATIVE OUTLOOK The negative outlook reflects the ongoing weakness of global light vehicle production, especially in Europe. Despite expected improvements in 2025, Moody's expect that it will take until early 2026 to improve margins (Moody's adjusted EBIT) to at least 3% and to reduce debt/EBITDA (Moody's adjusted) to a maximum of 3.5x. Any shortfall versus these expectations can prompt a rating downgrade. LIQUIDITY MAHLE's liquidity position is good. The company's main sources of liquidity include (1) cash on the balance sheet of EUR691 million (as of September 2024) and (2) Moody's estimate of annual funds from operations of around EUR500 million. The company also has a EUR1.2 billion revolving credit facility (RCF) maturing in February 2027, which is largely undrawn. The RCF has certain financial covenants, to which it still has ample headroom. With this, MAHLE's liquidity sources over the next 12 months amount to approximately EUR2.4 billion under the stressed assumption of no access to capital markets. These liquidity sources comfortably exceed liquidity uses of around EUR1.0 billion, mainly comprising of capital spending, which Moody's expect at around EUR400 million, and EUR200 million short-term debt maturities. Uses of liquidity further include Moody's working cash assumption of EUR350 million. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS A downgrade of the ratings could arise for MAHLE if debt/EBITDA (Moody's adjusted) failed to improve to below 3.5x, EBIT margins remained below 3% (Moody's adjusted), retained cash flow (RCF) / net debt below 15%, or liquidity weakened. Moody's would consider an upgrade of the ratings should MAHLE achieve sustainably Debt/EBITDA (Moody's adjusted) below 3.0x, EBIT margins (Moody's adjusted) towards 5%, and RCF/net debt of more than 20%. The principal methodology used in these ratings was Automotive Suppliers published in December 2024. COMPANY PROFILE MAHLE GmbH, headquartered in Stuttgart, Germany, is one of the top 25 global automotive parts suppliers. MAHLE's three main business segments are Thermal management (36% of 2023 sales), Engine Systems and Components (21%) and Filtration and Engine Peripherals (18%). In 2023, MAHLE generated revenues of around EUR12.8 billion. MAHLE, which employed around 72.000 employees and produced in 148 locations worldwide in 2023, is owned by the MAHLE Foundation. The company owns a 61% stake in the MAHLE Metal Leve S.A., which is publicly listed in Brazil and had a market capitalization of around BRL3.6bn (EUR570m) as of December 18, 2024. ZF FRIEDRICHSHAFEN: Moody's Downgrades CFR to Ba2, Outlook Stable ----------------------------------------------------------------- Moody's Ratings has downgraded the long-term corporate family rating of the Germany-based global automotive parts supplier ZF Friedrichshafen AG (ZF or the company) to Ba2 from Ba1. Concurrently, Moody's have downgraded the probability of default rating to Ba2-PD from Ba1-PD and the senior unsecured MTN program ratings of the company to (P)Ba2 from (P)Ba1. The backed senior unsecured ratings of its subsidiaries ZF Europe Finance B.V., ZF Finance GmbH and ZF North America Capital, Inc. were also downgraded to Ba2 from Ba1. The outlook for all entities is stable. This concludes the review for downgrade, which was initiated on October 4, 2024. "The ratings downgrade reflects the ongoing cyclical and structural pressure on volumes and margins in ZF's key automotive markets, which requires material efficiency measures", says Matthias Heck, a Moody's Ratings Vice President – Senior Credit Officer and Moody's Lead Analyst for ZF. "In the ongoing weak market environment, these measures will help to stabilize credit metrics at a level commensurate for a Ba2, while metrics will remain too weak for the previous Ba1 rating category ", adds Mr. Heck. RATINGS RATIONALE Moody's review for downgrade was focused on ZF's self-help measures to protect margins and reduce leverage in the highly challenging automotive sector environment, which is impacted by cyclical and structural factors. The decision to downgrade the CFR by one notch to Ba2 is driven by expected continued weakness in credit metrics, which will leave the rating even weakly positioned through 2025. Gradual benefits from efficiency measures will help to improve metrics towards more adequate levels for the Ba2 in 2026. Moody's anticipate that ZF's company-adjusted EBIT margin in 2024 will be in line with the company's recently revised range of 3% to 4%. On a Moody's adjusted basis (after purchase price allocation effects) and after restructuring cost, Moody's expect, however, an EBIT margin of well below 2% for this year (3.9% in the last twelve months to June 2024) and still below 3% for 2025, which is too low for a Ba1 and even weak for a Ba2. Initial success of efficiency measures should, however, improve EBIT margins towards 4% in 2026. Moody's expect that ZF's debt/EBITDA (Moody's adjusted) will increase towards 6x at the end of December (4.4x LTM June 2024), driven by a weak fourth quarter and initial restructuring charges. In July, the company announced a plan to reduce its workforce in Germany gradually by 11,000-14,000 by the end of 2028. For 2025, Moody's expect improving profitability and positive free cash flows (Moody's adjusted, after interest payments and dividends), which should help to bring down leverage towards 4.25x. It will, however, take until 2026 to reduce leverage below this level, which is Moody's maximum for the Ba2. Moody's leverage calculations do not yet include a potential positive impact from asset disposals. ZF has been preparing a potential disposal or an IPO of its passive safety business ZF Lifetec and holds a 63.16% stake in its publicly listed subsidiary ZF Commercial Vehicle Control Systems India Ltd. Moody's expect that asset disposals could have a moderate de-leveraging effect on ZF, which would position leverage more comfortably for the Ba2 in 2025. On September 27, ZF revised its revenue expectations for 2024 to EUR40 billion - EUR42 billion, from previously EUR42.5 billion to EUR43.5 billion. At the beginning of August, ZF had already reduced its revenue guidance from initially above EUR45 billion, which illustrated the rapid and significant decline in the automotive industry and the drop in automakers' call-offs in the second half of this year. ZF also lowered its guidance for company-adjusted EBIT margin to 3%-4%, from 4.9%-5.4%, and reduced its company-adjusted free cash flow expectation to more than EUR100 million, from previously more than EUR800 million. ZF's Ba2 rating is supported by the company's leading market position as one of the largest tier 1 global automotive suppliers, combined with its sizeable industry-facing operations, and regional and customer diversification; clear focus on innovation and new product development; positive strategic alignment to address the disruptive trends of automotive electrification and autonomous driving; relatively conservative financial policy; and good liquidity. However, ZF's ratings also reflect the company's still high leverage, with debt/EBITDA (Moody's adjusted) of 4.4x at the end of June 2024; its modest operating profitability, with an EBIT margin of 3.9% in the last twelve months ending June 2024, although broadly in line with the industry average; ZF's continued high capital and R&D spending, reflecting the group's focus on innovation; and the exposure to the global automotive industry, which is cyclical and highly competitive. The rating factors in Moody's expectation of gradual leverage improvements, which could be supported by asset disposals. RATING OUTLOOK The stable outlook reflects Moody's expectations that ZF will return to metrics in line with the Ba2 rating category such as Moody's-adjusted Debt / EBITDA below 4.25x and EBIT margin above 3.0% in the next 18 months on the back of operational improvements and further debt reduction supported by assets sales if necessary. Moody's expect cash flow generation recover to robust levels in 2025, evidenced in RCF/Net debt metrics above 20%. Moody's expect ZF to continue their strong liquidity management and conservative financial policy. The rating remains vulnerable to a persistent weakness of global automotive demand levels. LIQUIDITY ZF has good liquidity over the next 12 months. As of June 2024, the company had EUR4.1 billion in cash and cash equivalents (including short-term financial investments), and EUR3.5 billion available under its revolving credit facility agreements. Moody's also expect that ZF will manage to retain comfortable headroom under its financial covenants. Moody's expect ZF to generate FFO of around EUR3 billion over the next 12 months, which will bring its total liquidity sources to around EUR10 billion. This expected liquidity sources will be sufficient to cover cash uses of nearly EUR7 billion, comprising short-term debt maturities of around EUR3.0 billion; estimated capital spending of nearly EUR2.5 billion; an estimated dividends (including minorities) of around EUR100 million; and working cash needs of EUR1.2 billion. FACTORS THAT COULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS The ratings could be downgraded in case of a more severe and prolonged downturn of the automotive industry or if ZF's efficiency measures proved to be insufficient to strengthen the company's credit metrics. More specifically, Moody's might downgrade the rating if the company's (1) EBIT margin remains below 3%, (2) debt/EBITDA remains above 4.25x on a sustained basis, (3) retained cash flow (RCF)/net debt declines below mid teen percentage level or (4) FCF is less than EUR250 million a year. A rating upgrade would be conditional on ZF achieving (1) an improvement in its EBIT margin towards5% (Moody's adjusted), (2) a reduction in its leverage, as reflected by debt/EBITDA below 3.5x (Moody's adjusted), (3) retained cash flow (RCF)/net debt above 20% on a sustained basis, and (4) FCF above EUR500 million a year. LIST OF AFFECTED RATINGS Issuer: ZF Friedrichshafen AG Outlook Actions: Outlook, Changed To Stable From Rating Under Review Downgrades, Previously placed on Review for Downgrade: LT Corporate Family Rating, Downgraded to Ba2 from Ba1 Probability of Default Rating, Downgraded to Ba2-PD from Ba1-PD Senior Unsecured Bank Credit Facility (Local Currency), Downgraded to Ba2 from Ba1 Senior Unsecured Medium-Term Note Program (Local Currency), Downgraded to (P)Ba2 from (P)Ba1 Issuer: ZF Europe Finance B.V. Outlook Actions: Outlook, Changed To Stable From Rating Under Review Downgrades, Previously placed on Review for Downgrade: Backed Senior Unsecured Medium-Term Note Program (Local Currency), Downgraded to (P)Ba2 from (P)Ba1 Backed Senior Unsecured (Local Currency), Downgraded to Ba2 from Ba1 Issuer: ZF Finance GmbH Outlook Actions: Outlook, Changed To Stable From Rating Under Review Downgrades: Backed Senior Unsecured Medium-Term Note Program (Local Currency), Downgraded to (P)Ba2 from (P)Ba1 Backed Senior Unsecured (Local Currency), Downgraded to Ba2 from Ba1 Issuer: ZF North America Capital, Inc. Outlook Actions: Outlook, Changed To Stable From Rating Under Review Downgrades: Backed Senior Unsecured (Local Currency), Downgraded to Ba2 from Ba1 PRINCIPAL METHODOLOGY The principal methodology used in these ratings was Automotive Suppliers published in December 2024. COMPANY PROFILE ZF Friedrichshafen AG (ZF), headquartered in Friedrichshafen, Germany, is a leading global automotive technology company specialized in driveline and chassis technology, and active and passive safety technology. The company generates most of its revenue from the passenger car and commercial vehicle industries but delivers to other markets as well, including the construction, wind-power and agricultural machinery sector. ZF is one of the largest automotive suppliers on a global scale, with revenue of EUR46.6 billion during 2023. ============= I R E L A N D ============= INVESCO EURO XIV: Fitch Assigns 'B-sf' Final Rating to Cl. F Notes ------------------------------------------------------------------ Fitch Ratings has assigned Invesco Euro CLO XIV DAC final ratings, as detailed below. Entity/Debt Rating ----------- ------ Invesco Euro CLO XIV DAC A-loan LT AAAsf New Rating A-notes XS2939410929 LT AAAsf New Rating B-1 XS2939410689 LT AAsf New Rating B-2 XS2939411737 LT AAsf New Rating C XS2939411067 LT Asf New Rating D XS2939410846 LT BBB-sf New Rating E XS2939411810 LT BB-sf New Rating F XS2939411141 LT B-sf New Rating Subordinated notes XS2940409605 LT NRsf New Rating X XS2939411653 LT AAAsf New Rating Transaction Summary Invesco Euro CLO XIV DAC is a securitisation of mainly senior secured obligations (at least 90%) with a component of senior unsecured, mezzanine, second-lien loans and high-yield bonds. Note proceeds have been used to fund a portfolio with a target par of EUR400 million that is actively managed by Invesco CLO Equity Fund IV LP. The CLO has a 5.1-year reinvestment period and a nine-year weighted average life (WAL). KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors at 'B'. The Fitch-calculated weighted average rating factor of the identified portfolio is 24.4. High Recovery Expectations (Positive): At least 90% of the portfolio comprises senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch-calculated weighted average recovery rate of the identified portfolio is 62.9%. Diversified Portfolio (Positive): The transaction will have four matrices. Two are effective at closing with fixed-rate asset limits of 2.5% and 10%, and two are effective one year after closing with the same fixed-rate limits. All four matrices correspond to a top 10 obligor concentration limit of 25%. The manager may elect to switch to the forward matrices provided that the adjusted collateral balance is above, or equal to, the reinvestment target par balance and Fitch has provided confirmation. The transaction includes various concentration limits, including the maximum exposure to the three largest Fitch-defined industries in the portfolio at 42.5%. These covenants ensure that the asset portfolio will not be exposed to excessive concentration. Portfolio Management (Neutral): The transaction has an approximately 5.1-year reinvestment period and includes reinvestment criteria similar to those of other European transactions. Fitch's analysis is based on a stressed-case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash-flow Modelling (Positive): The WAL used for the transaction's stressed-case portfolio analysis is 12 months shorter than the WAL covenant. This reflects the strict reinvestment criteria post reinvestment period, which includes satisfaction of Fitch 'CCC' limitation and the coverage tests, as well as a WAL covenant that linearly steps down over time. In Fitch's opinion, these conditions reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade An increase of the default rate (RDR) at all rating levels in the current portfolio by 25% of the mean RDR and a decrease of the recovery rate (RRR) by 25% at all rating levels would have no impact on the class X, A, B, C, E and F notes and lead to a downgrade of one notch for the class D notes. Downgrades may occur if build-up of the notes' credit enhancement following amortisation does not compensate for a larger loss expectation than initially assumed due to unexpectedly high levels of defaults and portfolio deterioration. Due to the better metrics and shorter life of the current portfolio than the Fitch-stressed portfolio as well as the model-implied rating deviation, the class F notes display a rating cushion of three notches, and the class B, C, D and E notes cushions of two notches. There is no rating cushion for the class X and A notes. Should the cushion between the current portfolio and the Fitch-stressed portfolio be eroded either due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR and a 25% decrease of the RRR across all ratings of the stressed portfolio would lead to downgrades of up to four notches. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A reduction of the RDR at all rating levels in the stressed portfolio by 25% of the mean RDR and an increase in the RRR by 25% at all rating levels would result in upgrades of up to five notches for all notes, except the class X and A notes. Further upgrades may occur if the portfolio's quality remains stable and the notes start to amortise, leading to higher credit enhancement across the structure. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Invesco Euro CLO XIV DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. TIKEHAU CLO: Fitch Hikes Rating on Class F-RR Debt to 'B+sf' ------------------------------------------------------------ Fitch Ratings has upgraded five classes of Tikehau CLO DAC, and affirmed the rest as detailed below. Entity/Debt Rating Prior ----------- ------ ----- Tikehau CLO DAC Class A-RR XS2367217440 LT AAAsf Affirmed AAAsf Class B-1-RR XS2367218257 LT AAAsf Upgrade AA+sf Class B-2-RR XS2367218760 LT AAAsf Upgrade AA+sf Class C-RR XS2367219578 LT AA+sf Upgrade A+sf Class D-RR XS2367220154 LT Asf Upgrade BBBsf Class E-RR XS2367220741 LT BB+sf Upgrade BBsf Class F-RR XS2367221046 LT B+sf Upgrade B-sf Transaction Summary Tikehau CLO DAC is a securitisation of mainly senior secured obligations (at least 90%) with a component of senior unsecured, mezzanine, second-lien loans, first-lien, last-out loans and high-yield bonds. The portfolio is actively managed by Tikehau Capital Europe Limited and exited its reinvestment period in February 2024. KEY RATING DRIVERS Deleveraging; Better-than-Expected Asset Performance: The rating actions reflect the transaction's deleveraging and resilient performance with portfolio losses below rating cases. They also reflect manageable near- and medium-term refinancing risk, with only 1.8% of the assets in the portfolio maturing before 2025, and 7% in 2026. The class A notes have deleveraged EUR126.2 million since the last review based on the trustee report dated January 2024 and credit enhancement has increased for all classes. The total par loss at 1.2% of target par, due mainly to defaulted assets and the manager making some trading losses on selling weaker assets, is well below its rating-case assumptions. The transaction is passing all tests except the weighted average life (WAL) test, according to the last trustee report dated November 2024. Large Cushion Supports Stable Outlooks: All notes have comfortable default-rate buffers to support their ratings and should be capable of absorbing further defaults in the portfolio. The ratings also reflect sufficient credit protection to withstand deterioration in the credit quality of the portfolio in stress periods that are commensurate with the ratings. 'B'/'B-' Portfolio: Fitch assesses the average credit quality of the transaction's underlying obligors at 'B'/'B-'. The weighted average rating factor (WARF), as calculated by Fitch, is 26.2. The portfolio comprises 7.65% assets with Negative Outlook, which Fitch has stressed by notching these assets down one level. The WARF for the stressed portfolio, as calculated by Fitch, is 27.0. High Recovery Expectations: Senior secured obligations comprise 100% 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 59.63%. Diversified Portfolio: The portfolio is well-diversified across obligors, countries and industries. The top 10 obligor concentration is 21.86%, and no obligor represents more than 2.6% of the portfolio balance, as calculated by Fitch. Transaction Outside Reinvesting Period: The transaction exited its reinvestment period in February 2024, the manager cannot reinvest since the weighted average life (WAL) test has failed and reinvestment is subject to the satisfaction of the WAL. As a result, Fitch's analysis is based on the stressed portfolio with a WAL floored at four years, according to its criteria. Deviation from MIR: The class C-RR to E-RR notes' ratings are one notch below their model-implied ratings (MIR). The deviation reflects limited default-rate cushion at the MIRs. The MIR deviations also reflect the sensitivity of the MIRs to negative portfolio migration and additional defaults as a result of refinancing risk. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Based on the current portfolio, downgrades may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of default and portfolio deterioration. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Tikehau CLO DAC Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally 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 Tikehau CLO DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. TRINITAS EURO VIII: Fitch Assigns B-sf Final Rating to Cl. F Notes ------------------------------------------------------------------ Fitch Ratings has assigned Trinitas Euro CLO VIII DAC's notes final ratings, as detailed below. Entity/Debt Rating ----------- ------ Trinitas Euro CLO VIII DAC Class A XS2936112114 LT AAAsf New Rating Class A-L LT AAAsf New Rating Class B XS2936112387 LT AAsf New Rating Class C XS2936112890 LT Asf New Rating Class D XS2936113195 LT BBB-sf New Rating Class E XS2936113351 LT BB-sf New Rating Class F XS2936113518 LT B-sf New Rating Subordinated XS2936113781 LT NRsf New Rating Transaction Summary Trinitas Euro CLO VIII DAC is a securitisation of mainly senior secured loans and secured senior bonds (at least 90%) with a component of senior unsecured, mezzanine and second-lien loans. Note proceeds have been used to fund a portfolio with a target par of EUR425 million. The portfolio is actively managed by Trinitas Capital Management, LLC. The CLO has an approximately 4.5-year reinvestment period and an approximately 7.5-year weighted average life (WAL) with a one-year step up mechanism. KEY RATING DRIVERS Average Portfolio Credit Quality (Neutral): Fitch assesses the average credit quality of obligors to be in the 'B' category. The Fitch weighted average rating factor of the identified portfolio is 23.8. High Recovery Expectations (Positive): At least 90% of the portfolio comprises senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch weighted average recovery rate of the identified portfolio is 62.5%. Diversified Portfolio (Positive): The transaction has a top 10 obligor concentration limit of 26.5%, and fixed-rate obligation limits at 7.5% and 12.5%. The transaction also includes various concentration limits, including a maximum exposure to the three largest Fitch-defined industries in the portfolio at 40%. These covenants ensure that the asset portfolio will not be exposed to excessive concentration. WAL Step-Up Feature (Neutral): The transaction can extend the WAL by one year on or after the step-up date, which is one year after closing. The WAL extension is at the option of the manager but subject to conditions, including passing the collateral-quality tests, portfolio-profile tests, coverage tests and meeting the reinvestment target par, with defaulted assets at their collateral value. Portfolio Management (Neutral): The transaction has a reinvestment period of 4.5-years and includes reinvestment criteria similar to those of other European transactions. The transaction includes six matrices, two effective at closing with a WAL of 7.5 years and four that are effective six months after closing (or 18 months after closing if the WAL has stepped up) with a WAL of seven years. The four forward matrices relate to one set with a target par of 425 million and another set with a target par of 423 million. Fitch's analysis is based on a stressed case portfolio with the aim of testing the robustness of the transaction structure against its covenants and portfolio guidelines. Cash Flow Modelling (Positive): The WAL for the transaction's Fitch-stressed portfolio analysis is 12 months less than the WAL covenant. This is to account for the strict reinvestment conditions envisaged by the transaction after its reinvestment period, which include passing the coverage tests and the Fitch 'CCC' bucket limit test after reinvestment as well as a WAL covenant that progressively steps down, before and after the end of the reinvestment period. Fitch believes these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A 25% increase of the mean default rate (RDR) and a 25% decrease of the recovery rate (RRR) across all ratings of the identified portfolio would not have any rating impact on the rated notes. Based on the identified portfolio, downgrades may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of default and portfolio deterioration. Due to the better metrics and shorter life of the identified portfolio than the Fitch-stressed portfolio, the class F notes display a rating cushion of five notches, the class B, D and E notes have a cushion of two notches, and the class C notes have a cushion of three notches. Should the cushion between the identified portfolio and the Fitch-stressed portfolio be eroded due to manager trading or negative portfolio credit migration, a 25% increase of the mean RDR and a 25% decrease of the RRR across all ratings of the Fitch-stressed portfolio would lead to downgrades of up to three notches for the notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade A 25% reduction of the mean RDR and a 25% increase in the RRR across all ratings of the Fitch-stressed portfolio would lead to upgrades of up to three notches, except for the 'AAAsf' rated notes. During the reinvestment period, upgrades, which are based on the Fitch-stressed portfolio, may occur on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the transaction's remaining life. After the end of the reinvestment period, upgrades may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread 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 Trinitas Euro CLO VIII DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ========= I T A L Y ========= ALMAVIVA SPA: Fitch Affirms 'BB' Long-Term IDR, Outlook Stable -------------------------------------------------------------- Fitch Ratings has affirmed AlmavivA S.p.A.'s Long-Term Issuer Default Rating (IDR) at 'BB' with a Stable Outlook. Fitch has also affirmed the instrument rating on Almaviva's secured debt facilities at 'BB+'/'RR3'. Almaviva's ratings are driven by its established positions as a leading Italian IT services company with a large order backlog, stable relationships with key customers, positive growth outlook and deleveraging capacity. Leverage spiked at 3.5x in 2024, but the company maintains a significant cash cushion on its balance sheet, which makes its net leverage much more moderate. Slow gross deleveraging progress due to additional debt-funded M&A or insufficient revenue/EBITDA growth may put pressure on the rating. Key Rating Drivers Leverage Spikes on M&A: After a period of organic deleveraging, Almaviva's debt spiked at approximately 3.5x on Iteris and Magna acquisitions in 2024 on a pro-forma basis. Net leverage is much more moderate at close to 2.5x, with significant cash on the balance sheet, which provides flexibility to manage gross debt. While Fitch does not expect any of the newly-issued EUR725 million bond to be repaid, other debt types may be easier to reduce. During 9M24 Almaviva spent EUR56million on acquisitions, including buying minority interests and Magna, a Brazilian IT services company. It also purchased Iteris, a US-based transport-focused IT company, for over USD330 million in 4Q24. Growth, Efficiency Drive Deleveraging: Deleveraging will be predicated on robust revenue growth, cost discipline, and higher efficiency, leading to stronger margins, particularly at newly acquired Iteris. Fitch projects Almaviva will be able to delever by approximately 0.3x-0.4x per year, with net leverage declining to approximately 2x by end-2025. Iteris Is Key: Management views Iteris as a good strategic fit for its strong transport-related IT operations. Iteris targeted medium term 13%-15% average annual revenue growth prior to the acquisition. Iteris switched to positive EBITDA generation in 2024 after addressing post-pandemic logistical issues, and there is potential for significant further improvement, particularly in its services segment. Stable Customer Relationships: Almaviva benefits from typically stable and long-lasting customer relationships in the IT segment, with the bulk of IT services revenue coming from customers with contractual relationships of more than 10 years. With IT services being typically mission-critical, Fitch views Almaviva as well positioned to maintain key customer relationships due to its capability to provide services under high-standard service level agreement terms. Strong Backlog: The company's strong IT services backlog improves earnings visibility and reduces medium-term revenue volatility. This metric was equal to three years of last-12-month revenue at end-September 2024. The backlog is supported by a long-term contract with Almaviva's largest customer, Gruppo Ferrovie dello Stato, after winning three tenders worth EUR1.1 billion (Almaviva's share) in early 2022. The contract is for five years, with an extension option for another two. Significant Customer Concentration: Almaviva remains exposed to significant customer concentration, particularly in the IT services segment. This exposure continues declining, including due to M&A, but high reliance on key customers is a credit weakness. Positive IT Growth Outlook: Almaviva's addressable IT services market is likely to demonstrate mid-to-high single digit growth, with management targeting above the market average expansion. Along with the Italian IT services industry, Almaviva has a positive growth outlook, supported by rising use of IT services and significant investments under the Italian Recovery and Resilience Plan for further digitalisation in key sectors. AICA, the Italian IT association, estimated an overall digital market CAGR over 2024-2027 at 3.3%, with digital enablers and transformers segment projected to grow by double digits. Moderate Foreign-Exchange Risk: International operations expose Almaviva to moderate foreign-exchange (FX) risk, with FX cash flows predominantly in Brazilian reals while all of the company's debt is in euros. Management views cash from Brazilian operations as fully available. Private Ownership: Fitch believes the company's private ownership allows it to be more flexible with dividend distributions, with a record of dividend interruptions and a focus on deleveraging. However, Fitch primarily relies on metrics based on gross debt in the absence of any ring-fencing. Bullet Refinancing Risk: Almaviva is facing a bullet refinancing risk that contributes to its credit risk profile. The company's largest debt instrument is a EUR725 million bond maturing in October 2030. Given the company's medium absolute size, debt diversification options are likely to be limited. WC Volatility: High working capital (WC) volatility necessitates the maintenance of a significant cash cushion on the balance sheet. Almaviva's revenue growth is typically accompanied by WC outflows as a large share of services are provided on post-payment terms, including for many tendered contracts and public administration customers. WC is also affected by pronounced seasonality, with peak requirements typically in 3Q. 9M24 WC outflows were equal to EUR152 million which management expects to significantly reduce by around EUR100 million by year-end. Positive FCF: Fitch projects Almaviva to remain strongly FCF generative, with a mid-single digit FCF margin. Positive FCF will provide flexibility to moderately reduce gross debt and facilitate WC management. Derivation Summary Almaviva's closest domestic peer is Engineering Ingegneria Informatica S.p.A. (B/Stable), a leading Italian software developer and provider of IT services to large Italian companies. Engineering has greater absolute size and wider industrial scope, faces lower FX risks and does not have any lower-credit-quality non-IT segments (such as digital relationship management (DRM) for Almaviva). Almaviva is rated higher than Engineering due to its significantly lower leverage. Almaviva's range of offered services has some overlap with large multi-country, multi-segment IT services companies, such as DXC Technology Company (BBB/Negative) and Accenture plc (A+/Stable), but on a significantly smaller scale, with a focus on a single country and fewer segments. A closer peer is medium-sized India-based IT service provider Hexaware Technologies Limited (BB-/Stable), which generates most of its revenue from US and European customers. Almaviva is rated higher than enterprise resource planning software providers with higher leverage. These include TeamSystem S.p.A. (B/Stable), a leading Italian accounting and enterprise resource planning software company with over 75% of recurring revenue, and Cedacri S.p.A. (B/Negative), a leading Italian provider of software, infrastructure and outsourcing services for the financial sector. Key Assumptions Fitch's Key Assumptions Within Its Rating Case for the Issuer: - IT services revenue growing by low double-digit percentages a year in 2024-2027 on average including due to the M&A impact; - Low-to-mid single digit DRM revenue growth a year in 2024-2027 on average; - Modestly improving EBITDA margin in 2024-2027, in the 16%-17% range; - Capex at close to 2% of revenue in 2027-2027 (excluding capitalised R&D which Fitch treats as a cash expense and deducts it from EBITDA); - Negative working-capital outflows equal to 3% of revenues per year; - EUR25 million use of the factoring facility treated as debt. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Gross EBITDA leverage above 2.5x. - Weaker cash flow generation with pre-dividend FCF margin declining to below 4% through the cycle. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Gross EBITDA leverage sustained at below 2.5x. - A significant increase of recurring revenues in the revenue mix and lower customer concentration. - More diversified financing structure, with lower exposure to bullet refinancing risk. Liquidity and Debt Structure Fitch views Almaviva's liquidity as comfortable. The company had EUR130 million of cash on the balance sheet at end-9M24 supported by EUR160 million of untapped super-senior revolving credit facility. The EUR725 million bond issue in October 2024 allowed it to early pre-pay the EUR350 million bond and finance the Iteris acquisition. The company's senior secured debt is rated 'BB+'/'RR3' under a generic approach but reflecting caps for Italy under Fitch's country-specific treatment recovery ratings rating criteria. Issuer Profile Almaviva is an IT services company with strong positions in Italian transport and public administration sectors. It has significant international DRM operations and is majority owner of Almawave. Upon acquisition of Iteris in 2024, Almaviva also has sizeable US operations. MACROECONOMIC ASSUMPTIONS AND SECTOR FORECASTS Fitch's latest quarterly Global Corporates Macro and Sector Forecasts data file which aggregates key data points used in its credit analysis. Fitch's macroeconomic forecasts, commodity price assumptions, default rate forecasts, sector key performance indicators and sector-level forecasts are among the data items included. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- AlmavivA S.p.A. LT IDR BB Affirmed BB senior secured LT BB+ Affirmed RR3 BB+ senior secured LT BB+ New Rating RR3 BB+(EXP) ===================== N E T H E R L A N D S ===================== AMMEGA GROUP: Fitch Affirms 'B-' Long-Term IDR, Outlook Stable -------------------------------------------------------------- Fitch Ratings has affirmed industrial belt manufacturer Ammega Group B.V.'s Long-Term Issuer Default Rating (IDR) and senior secured rating at 'B-'. The Outlook on the IDR is Stable. The Recovery Rating on the company's term loan B (TLB) is 'RR4'. The IDR reflects Ammega's still high gross leverage in 2024, but Fitch expects it to fall in the short-to- medium term, primarily via improving profitability, to levels that are within its rating sensitivities. The rating also reflects the company's solid business profile, satisfactory liquidity and expected positive free cash flow (FCF) generation from 2025 onwards. Key Rating Drivers High Leverage: A slower-than-expected recovery in EBITDA in 2024 has resulted in a broadly stable leverage profile, contrary to its previous expectations of deleveraging. Ammega's Fitch-calculated EBITDA gross leverage is forecast at 8.4x for end-2024, versus 8.3x at end-2023, and above its downgrade sensitivity of 7.5x. Fitch expects the company to improve gross leverage to around 7.5x at end-2025 on the back of slightly higher earnings and some debt repayment. Failure to show a clear deleveraging path in 2025 may lead to a negative rating action. Improving FCF Expected: Ammega is likely to record slightly negative FCF in 2024, driven largely by restructuring actions and the one-off costs associated with a cyber-attack in early 2024. From 2025, an expected recovery in demand from core markets and much lower one-off restructuring charges will allow FCF margins to turn positive and thereafter remain at mid-single digits. Fitch will monitor closely capex discipline and working-capital management, which are key to FCF improvements. Operating Margins to Rise Gradually: Fitch forecasts Ammega's Fitch-calculated EBITDA margin in 2024 at 16%, up from 15% in 2023, before gradually rising to over 17% by 2027. This will be driven by efficiency improvement measures and procurement savings, which should be complemented by the expected end-market recovery in 2025. Established Market Position: Fitch expects Ammega to have single-digit annual revenue growth over the next four years, underpinned by demand from non-cyclical customers and supplemented by services and replacement revenue. Fitch expects a revenue decline in 2024 of around 5% (LTM Q324: -3.9%), driven by a weak economic environment, especially in EMEA, which is causing investment decisions to be delayed. Demand from some industrial end-markets remains weak but is expected to recover gradually over 2025, accelerating in 1H25. Structural Growth in Demand: Fitch expects growth to come from increasing application and installation of belt products to support the rise of automation of industrial processes, and greater precision and efficiency requirements from direct end-users, as well as original equipment manufacturers and distributors. Earnings resilience is supported by the replacement cycle for belts of up to two years, although this can vary depending on the industry of user and type of belt, and by belt upgrading, which generates about 70% of Ammega's revenue. Derivation Summary Ammega has market-leading positions within the niche belt-manufacturing segment, supported by its diverse product portfolio, geographical footprint and broad customer base. Its direct competitors are larger and more diversified manufacturers, but their belting segment is smaller than or equal to Ammega's production capacity. In the belting segment, Ammega faces direct competitors in Forbo, Rexnord Corporation and Gates. These peers are bigger and more diversified but Ammega is exposed to more stable and growing end-markets and generates EBITDA and FCF margins that are in line with peers', albeit with substantially higher leverage. Ammega's profitability is higher than that of TK Elevator Holdco GmbH (B/Stable), while FCF margins are similar at low single digits. High EBITDA gross leverage above 8x in 2024 constrains the ratings of both companies. INNIO Group Holding GmbH (B+/Positive) has higher profitability than Ammega and lower leverage, which explains the rating difference. Key Assumptions - Fitch expects revenue to decline around 5% in 2024, followed by single-digit growth in the next three years - Fitch-adjusted EBITDA margin increasing to 16% in 2024 and gradually to over 17% by 2027, reflecting cost-saving initiatives - Capex at 3% of revenue in 2024, and 3.5%-4% in 2025-2027 - Minimal working-capital outflow in 2024-2027 as working capital stabilises - No dividend payments to 2027 - Bolt-on acquisitions of EUR15 million annually for 2024-2027 Recovery Analysis Fitch's recovery analysis reflects a going-concern (GC) approach, due to a higher value in maintaining Ammega as a business post-distress, rather than being liquidated. Its GC value available for creditor claims is estimated at about EUR688 million, assuming GC EBITDA of EUR125 million. GC EBITDA incorporates a loss of a major customer, deterioration in demand and a reduced order intake. The assumption also reflects corrective measures taken in reorganisation to offset the adverse conditions that trigger the default. Fitch used an enterprise value (EV) of 5.5x multiple, in line with the average multiple for industrial and manufacturing peers in the 'B' rating category. This is justified by the high recurring revenue share of 70% and critical nature of Ammega's products in any production process. Fitch deducts about EUR70 million from the EV, due to Ammega's use of non-recourse factoring facilities in 2024, adjusted for a discount, in line with Fitch's criteria. After a 10% deduction for administrative claim, its debt waterfall analysis generated a ranked recovery in the 'RR4' band, indicating a 'B-' instrument rating. The waterfall analysis output percentage on current metrics and assumptions for senior debt is 39%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Fitch-adjusted gross debt/EBITDA above 7.5x - Fitch-adjusted EBITDA/interest paid below 2x - FCF margin consistently neutral to negative - Acquisition activity weakening Ammega's risk profile Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Fitch-adjusted gross debt/EBITDA below 5.5x - Fitch-adjusted EBITDA/interest paid above 2.5x - FCF margin consistently above 3% Liquidity and Debt Structure As of end-3Q24, Ammega had a Fitch-adjusted cash balance of around EUR24 million and around EUR199 million undrawn under its EUR217 million revolving credit facility (RCF). Ammega does not have any major maturities due until 2028. Fitch forecasts an FCF margin of -1.4% in 2024 and 4.7% in 2025, before it rises to 5.3% in 2026 and 5.9% in 2027. Ammega's debt comprises a senior secured covenant-lite EUR966 million TLB2 and EUR250 million add-on TLB3, both with maturity in December 2028. The EUR35 million RCF1 is due in January 2025 and the EUR182 million RCF2 is due in June 2028. Issuer Profile Ammega is the product of a merger between Ammeraal Beltech and Megadyne, which have leading positions within lightweight conveyor belts and industrial power transmission belts. MACROECONOMIC ASSUMPTIONS AND SECTOR FORECASTS Fitch's latest quarterly Global Corporates Macro and Sector Forecasts data file which aggregates key data points used in its credit analysis. Fitch's macroeconomic forecasts, commodity price assumptions, default rate forecasts, sector key performance indicators and sector-level forecasts are among the data items included. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- Ammega Group B.V. LT IDR B- Affirmed B- senior secured LT B- Affirmed RR4 B- HILL FL 2022-1: Moody's Lowers Rating on EUR12.5MM D Notes to Ba1 ----------------------------------------------------------------- Moody's Ratings has downgraded the ratings of four Notes in Hill FL 2022-1 B.V. and HILL FL 2023-1 B.V. The rating action reflects worse than expected collateral performance. Moody's affirmed the ratings of the Notes that had sufficient credit enhancement to maintain their current ratings. Issuer: Hill FL 2022-1 B.V. EUR450M Class A Notes, Affirmed Aaa (sf); previously on May 18, 2022 Definitive Rating Assigned Aaa (sf) EUR17.5M Class B Notes, Affirmed Aa2 (sf); previously on May 18, 2022 Definitive Rating Assigned Aa2 (sf) EUR20M Class C Notes, Downgraded to A3 (sf); previously on May 18, 2022 Definitive Rating Assigned A2 (sf) EUR12.5M Class D Notes, Downgraded to Ba1 (sf); previously on May 18, 2022 Definitive Rating Assigned Baa3 (sf) Issuer: HILL FL 2023-1 B.V. EUR393.8M Class A Notes, Affirmed Aaa (sf); previously on May 22, 2023 Definitive Rating Assigned Aaa (sf) EUR27M Class B Notes, Affirmed Aa2 (sf); previously on May 22, 2023 Definitive Rating Assigned Aa2 (sf) EUR15.7M Class C Notes, Downgraded to A2 (sf); previously on May 22, 2023 Definitive Rating Assigned A1 (sf) EUR13.5M Class D Notes, Downgraded to Ba1 (sf); previously on May 22, 2023 Definitive Rating Assigned Baa3 (sf) RATINGS RATIONALE The rating action is prompted by increased key collateral assumptions, namely the default probability (DP) assumptions, due to worse than expected collateral performance. Revision of Key Collateral Assumptions As part of the rating action, Moody's reassessed Moody's default probability and recovery rate assumptions for the portfolio reflecting the collateral performance to date. The performance of the transactions has deteriorated over the last 12 months. Hill FL 2022-1 B.V. Total delinquencies have been stable in the past year, with 90 days plus arrears currently standing at 1.27% of current pool balance. However, cumulative defaults have increased significantly over the last twelve months and currently stand at 3.95% of original pool balance including replenishments, up from 1.83% a year earlier. The current default probability is 4.50% of the current portfolio balance, which corresponds to a default probability of 5.29% based on original portfolio balance. The assumption for the fixed recovery rate is 50.00%. Moody's have maintained the portfolio credit enhancement assumption at 15.00%. HILL FL 2023-1 B.V. Total delinquencies have been stable in the past year, with 90 days plus arrears currently standing at 1.06% of current pool balance. However, cumulative defaults have increased significantly over the last twelve months and currently stand at 3.61% of original pool balance including replenishments, up from 0.48% a year earlier. Moody's have increased the current default probability to 6.36%, from 5.00% of the current portfolio balance, which corresponds to a default probability of 7.23% based on original portfolio balance. The assumption for the fixed recovery rate is 50.00%. Moody's have increased the portfolio credit enhancement assumption to 15.00% from 14.00%. Structural considerations Both transactions include deferral of interest triggers for Class C and Class D Notes upon certain principal deficiency ledger like levels being hit. As part of the rating action, Moody's have taken into account the likelihood of interest on Class C and Class D Notes being deferred, subject to the aforementioned triggers. The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in August 2024. Factors that would lead to an upgrade or downgrade of the ratings: Factors or circumstances that could lead to an upgrade of the ratings include (1) performance of the underlying collateral that is better than Moody's expected, (2) an increase in available credit enhancement and (3) improvements in the credit quality of the transaction counterparties. Factors or circumstances that could lead to a downgrade of the ratings include (1) an increase in sovereign risk, (2) performance of the underlying collateral that is worse than Moody's expected, (3) deterioration in the notes' available credit enhancement and (4) deterioration in the credit quality of the transaction counterparties. ========= S P A I N ========= AUTONORIA SPAIN 2019: DBRS Confirms C Rating on Class G Notes ------------------------------------------------------------- DBRS Ratings GmbH took the following credit rating actions on the bonds (together, the rated notes) issued by Autonoria Spain 2019, FT (the Issuer): -- Class A Notes confirmed at AAA (sf) -- Class B Notes confirmed at AA (high) (sf) -- Class C Notes upgraded to AA (sf) from AA (low) (sf) -- Class D Notes upgraded to A (low) (sf) from BBB (sf) -- Class E Notes upgraded to BBB (sf) from BB (high) (sf) -- Class F Notes upgraded to BB (low) (sf) from B (high) (sf) -- Class G Notes confirmed at C (sf) The credit rating on the Class A Notes addresses the timely payment of scheduled interest and the ultimate repayment of principal by the legal final maturity date. The credit ratings on the Class B, Class C, Class D, Class E, Class F, and Class G Notes address the ultimate payment (then timely as most-senior class) of interest and the ultimate repayment of principal by the legal final maturity date in December 2035. The credit rating actions follow an annual review of the transaction and are based on the following analytical considerations: -- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the November 2024 payment date; -- Probability of default (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and -- Current available credit enhancement to the rated notes to cover the expected losses at their respective credit rating levels. The transaction is a securitization backed by retail auto loan receivables associated with a portfolio of new and used vehicle loans originated by Banco Cetelem S.A.U. (Banco Cetelem) to Spanish borrowers. The transaction included an initial one-year revolving period, which ended on the December 2020 payment date. PORTFOLIO PERFORMANCE As of the November 2024 payment date, loans that were one to two months delinquent represented 0.2% of the portfolio balance, loans that were two to three months delinquent represented 0.1% of the portfolio balance, while loans more than three months delinquent represented 0.2% of the portfolio balance. Gross cumulative defaults in terms of the initial portfolio balance, including additional purchases that occurred during the revolving period, amounted to 1.1%, of which 44.5% has been recovered so far. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS Morningstar DBRS conducted a loan-by-loan review of the remaining pool of receivables and maintained its base case PD and LGD assumptions at 4.4% and 85.3%, respectively. CREDIT ENHANCEMENT The subordination of the respective junior class of notes provides credit enhancement to the rated notes. As of the November 2024 payment date, credit enhancements to the Class A, Class B, Class C, Class D, Class E, Class F, and Class G Notes have remained unchanged since closing at 21.0%, 18.0%, 12.5%, 7.0%, 5.0%, 2.5%, and 0%, respectively, because of the pro rata amortization of the notes. If a sequential redemption event is triggered, the principal repayment of the notes will become sequential and nonreversible. While credit enhancement levels have remained unchanged, Morningstar DBRS views the significantly decreased note factor of 0.13 as a positive development. Such decrease, together with the good performance observed so far, has led to the upgrade of the Class C, Class D, Class E, and Class F Notes. The structure benefits from a liquidity reserve that was funded at closing and is available to cover senior expenses and interest deficiencies on the Class A through Class D notes if principal collections are not sufficient to cover such shortfalls. The liquidity reserve is currently at its target of EUR 4.65 million, equal to the floor level. The target amount may be maintained through the transaction's priority of payments during the normal redemption period, up to the earlier of the full repayment of the Class D Notes or the commencement of the accelerated amortization period. Once the Class D Notes have been redeemed, the target amount will be set at zero. BNP Paribas S.A. Sucursal en España acts as the account bank for the transaction. Based on Morningstar DBRS' private credit rating on BNP Paribas S.A. Sucursal en España, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit ratings assigned to the rated notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Banco Cetelem acts as the swap counterparty for the transaction, which in turn is guaranteed by BNP Paribas Personal Finance. Morningstar DBRS' private credit rating on BNP Paribas Personal Finance is consistent with the first credit rating threshold as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Notes: All figures are in euros unless otherwise noted. BANCAJA 9: Fitch Affirms 'CCsf' Rating on Class E Notes ------------------------------------------------------- Fitch Ratings has upgraded Bancaja 9, FTA's class C and D notes and affirmed the class A2, B and E notes. All tranches have been removed from Under Criteria Observation (UCO). Fitch has also affirmed Bancaja 13, FTA's class A notes. Entity/Debt Rating Prior ----------- ------ ----- Bancaja 9, FTA Series A2 ES0312888011 LT AAAsf Affirmed AAAsf Series B ES0312888029 LT AAAsf Affirmed AAAsf Series C ES0312888037 LT AA+sf Upgrade AAsf Series D ES0312888045 LT BBBsf Upgrade BB+sf Series E ES0312888052 LT CCsf Affirmed CCsf Bancaja 13, FTA Class A ES0312847009 LT A+sf Affirmed A+sf Transaction Summary The transactions comprise static securitisations of Spanish residential mortgages serviced by Caixabank, S.A. (A-/Stable/F2). KEY RATING DRIVERS Counterparty Risk Caps Bancaja 13 Ratings: Bancaja 13's class A notes' rating is at its maximum achievable level of 'A+sf' due to documented counterparty provisions. The minimum eligibility rating contractually defined for the transaction account bank (TAB) is 'BBB', which is insufficient to support 'AAsf' or 'AAAsf' category ratings as per Fitch's Structured Finance and Covered Bonds Counterparty Rating Criteria. European RMBS Rating Criteria Updated: The rating actions reflect the update of Fitch's European RMBS Rating Criteria on 30 October 2024. The update adopted a non-indexed current loan-to-value (LTV) approach to derive the base foreclosure frequency (FF) on portfolios, instead of the original LTV approach applied previously. Another relevant change was the updated borrower-level recovery rate cap of 85%, lower than 100% previously. For Bancaja 9, loss rates remain driven by the portfolio loss floor. For Bancaja 13, the 'A+sf' rating case loss rate commensurate with the class A notes' rating has decreased to 4.9% from 7.8% due to long seasoning and decreasing non-indexed LTVs. For more information see "Fitch Ratings Updates European RMBS Rating Criteria; Sets FF and HPD Assumptions" dated 30 October 2024. Transaction Adjustment: When calibrating the portfolio FF rates, Fitch has applied a 1.5x transaction adjustment for both transactions, supported by a lifetime performance indicator of close to or more than 200%. This reflects a weaker portfolio historical performance than its sector-level criteria-derived weighted average (WA) FFs and its assessment that performance may become volatile despite stabilisation of recent years' arrears and defaults. Stable Asset Performance Outlook: The upgrades and affirmations reflect the transactions' broadly stable asset performance expectation, in line with its stable outlook for the Spanish housing sector for the next few years (see "Global Housing and Mortgage Outlook 2025" published December 2024). The transactions maintain a low share of loans in arrears over 90 days (ranging between 1.1% and 2.0% as of the latest reporting dates), are protected by substantial seasoning above 17 years, and carry low current LTV ratios between 30% and 52%. CE Trends: Fitch expects Bancaja 9's credit enhancement (CE) will decrease in the near term as the reserve fund recently hit its target and may be permitted to amortise to its absolute floor. The transaction features a reverse sequential amortisation mechanism, which Fitch expects to continue for a few payment dates, until the pool factor reaches 10% (currently 11%). This exposes the transaction to significant changes in its cash flow and CE dynamics, reflected in the class C and D notes being below their model-implied ratings. However, their Positive Outlooks are supported by the fact that CE will start building up again soon as the notes' amortisation switches to mandatory sequential, as well as the accommodative Spanish macro and sector environments. Despite the ongoing increases in CE for Bancaja 13 supported by sequential amortisation of the notes, Fitch also expects CE to drop in the medium term as the reserve fund is close to hitting its target and may soon be allowed to amortise. Nonetheless, the class A notes' rating is robust. Bancaja 13 has an elevated ESG score for Transaction Parties & Operational Risk. The transaction account bank (TAB) eligibility triggers have been changed during the life of the transaction with a material impact on the ratings. The initially defined eligibility triggers of 'A' of 'F1' as of closing were modified to 'BBB+' or 'F2' in March 2012 and to 'BBB' in March 2021. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - For the notes rated 'AAAsf, a downgrade of Spain's Long-Term Issuer Default Rating (IDR) that could decrease the maximum achievable rating for Spanish structured finance transactions. - Long-term asset performance deterioration, such as increased delinquencies or larger defaults, which could be driven by changes to macroeconomic conditions, interest rate increases or borrower behaviour. For instance, a combined scenario of increased defaults and decreased recoveries by 30% each could trigger downgrades of up to four notches. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - For Bancaja 9, asset performance improvements, such as decreased defaults or increased recoveries; but also, CE build-up when the transaction switches to sequential. For instance, a combined scenario of decreased defaults and increased recoveries by 15% each could trigger upgrades of up to seven notches. - For Bancaja 13, a modification of the documents leading to a change in TAB eligibility triggers that could support ratings in the 'AAsf' or 'AAAsf' categories. 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 Bancaja 13, FTA, Bancaja 9, FTA Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. 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. Fitch did not undertake a review of the information provided about the underlying asset pool[s] ahead of the transactions' initial closing. The subsequent performance of the transaction[s] over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable. 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 ESG Relevance Score for Bancaja 13 is '5' in relation to transaction parties & operational risk. The TAB eligibility triggers have been changed during the life of the transaction with a material impact to the ratings; the initially defined eligibility triggers of 'A' of 'F1' as of closing date were modified to 'BBB+' or 'F2' in March 2012 and to 'BBB' in March 2021. 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. JERONIMO FUNDING: Fitch Assigns 'B(EXP)sf' Rating to Class F Debt ----------------------------------------------------------------- Fitch Ratings has assigned Jeronimo Funding DAC expected ratings. The assignment of final ratings is contingent on the receipt of final documents conforming to information already received. Entity/Debt Rating ----------- ------ Jeronimo Funding DAC Class A LT AAA(EXP)sf Expected Rating Class B LT AA-(EXP)sf Expected Rating Class C LT A-(EXP)sf Expected Rating Class D LT BBB-(EXP)sf Expected Rating Class E LT BB-(EXP)sf Expected Rating Class F LT B(EXP)sf Expected Rating Class Z LT NR(EXP)sf Expected Rating Transaction Summary Jeronimo Funding DAC is a cash-flow securitisation of a EUR305.9 million static pool of residential mortgages originated in Spain by Unicaja Banco, S.A. (Unicaja, BBB-/Positive/F3) and other financial entities integrated into Unicaja. Around 68% of the portfolio balance relates to restructured loans. KEY RATING DRIVERS High FF Expectation: The foreclosure frequency (FF) expectation on the portfolio, at 41.6% for the 'AAA' rating case, is comparable with other Spanish reperforming RMBS transactions. It reflects that 7.6% of the portfolio balance has more than three missed monthly instalments, for which Fitch has applied an FF rate of 100% under the 'AAA' scenario, and around a third of the restructured loans have less than 12 months of clean payment history (CPH). Fitch determines the FF rate of restructured loans by assessing the payment record since the most recent of the date last in arrears, the grace period end date and the restructuring end date. The weighted average (WA) CPH of the restructured loans is around 2.2 years. Long Interest Deferrals: Fitch expects the class B to F notes to incur material interest deferrals for more than 10 years in their respective rating scenario, according to its cash flow modelling. These long deferrals may also take place under the 'CCCsf' rating case (linked to a weighted average FF rate on the portfolio of 13.3%), primarily influenced by the level of defaults, scenarios of low prepayments and the step-up margins on the notes effective from April 2028. Fitch expects the deferred amounts to be repaid in a short period once each class becomes the senior most outstanding. Consistent with Fitch's Global Structured Finance Rating Criteria, the rating analysis reflects that any interest deferrals are projected to be fully recovered by the legal maturity date, that deferrals are a common structural feature in Spanish RMBS, and that the transaction's documentation includes a defined mechanism for the repayment of deferred amounts. Transaction Adjustment: When calibrating the portfolio FF rates, Fitch has applied a 1.2x transaction adjustment to reflect its general assessment of the pool. This considers lender-specific historical performance data and Fitch's observations from the originator review, particularly the underwriting and servicing strategies on restructured loans. Operational Risk Diversified: The transaction features two portfolio servicers. Unicaja as primary servicer and Pepper Spanish Servicing, S.L.U. as master and special servicer focusing on loans in arrears over 120 days. The multiple loan servicers diversify operational risks in a scenario of servicer disruption, and could help with forbearance and recovery when it comes to borrower engagement and maximizing proceeds in scenarios of stress. Interest Rate Risk Partially Mitigated: An interest-rate cap will be in place from closing for 10 years to hedge against rising interest rates. It has a scheduled notional up to 30% of the portfolio balance and operates a strike rate of 5.5%. The cap upfront premium will be paid by the seller at the closing date. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Long-term asset performance deterioration, such as increased delinquencies or reduced portfolio yield, which could be driven by changes in portfolio characteristics, macroeconomic conditions, business practices or the legislative landscape. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Increasing credit enhancement ratios as the transaction deleverages to fully compensate for the credit losses and cash flow stresses commensurate with higher rating cases; Smaller losses on the portfolio than levels consistent with ratings. For instance, a decrease in the WAFF rate by 15% combined with an increase in the WA recovery rate by 15% could imply category upgrades for most of the notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY 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. REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING Fitch was not provided with loan-by-loan debt to income (DTI) information. The agency has assumed all loans to be class 3 DTI (i.e. debt service representing between 30% and 40% of gross household income), supported by the lending criteria applied by the originators at the time of originating the mortgages and other comparable RMBS transactions. Moreover, employment data for 70% of the pool balance was missing and therefore Fitch applied the same employment distribution data from the observed positions. Fitch views the ResiGlobal model output of this transaction to adequately capture the risky attributes of the portfolio, which is also influenced by the high granularity of the portfolio and its static nature. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. =========== S W E D E N =========== SAMHALLSBYGGNADSBOLAGET I: Fitch Assigns 'CCC+' Long-Term IDR ------------------------------------------------------------- Fitch Ratings has assigned Samhallsbyggnadsbolaget i Norden Holding AB (publ) (SBB Holding) a Long-Term Issuer Default Rating (IDR) of 'CCC+' and senior unsecured debt rating of 'CCC+' with a Recovery Rating of 'RR4'. The ratings reflect the transfer of about 96% of SBB - Samhallsbyggnadsbolaget i Norden AB's (SBB Parent) group assets to a new entity, SBB Holding. SBB Holding has issued unsecured bonds of about SEK32 billion after a tender and exchange offer for SBB Parent's bonds. This results in a weak credit profile for SBB Holding, with Fitch-calculated net debt/EBITDA of 26.4x in 2025. Fitch expects SBB Holding to use cash and its recently received disposal receipts to upstream cash to SBB Parent to repay the latter's retained unsecured 2025 bonds of SEK4.7 billion. This allows management time to concentrate on operations ahead of SBB Holding's next material bond maturity of SEK5.8 billion in August 2026. Key Rating Drivers SBB Holding's Property Portfolio: SBB Holding's SEK50.6 billion of investment property assets at end-3Q24 mostly consists of directly-held community service properties of about SEK21.6 billion and the consolidation of its 56%-owned Sveafastigheter AB's SEK28.5 billion residential-for-rent portfolio. During 4Q24, the Nordiqus AB SEK9.1 billion equity investment and SEK5.3 billion vendor loan were also transferred. In addition, the two 100%-owned Castlelake-financed vehicles, total SEK15 billion of community service assets and have their own secured debt. Fitch deconsolidates Sveafastigheter and only adds recurring rental-derived cash dividends upstreamed from these entities to SBB Holding's EBITDA. Debt Transferred from SBB Parent: SBB Holding issued about SEK32 billion of unsecured bonds due in 2026-2029 derived from SBB Parent's exchanged unsecured bonds and subordinated hybrids. The unsecured instruments have unchanged coupons, with minor adjustments to their maturity dates. The new bonds are guaranteed by SBB Parent. The completed tender prepaid only SEK1.2 billion of the group's 2025 debt maturities submitted for tender, with SEK4.7 billion retained at SBB Parent, which SBB Holding plans to repay with its SEK6 billion "other liabilities to SBB entities" at end-3Q24. Fitch views this as SBB Holding's debt. De-linked from SBB Parent: The bondholders who remain with SBB Parent or SBB Treasury Oyj (whose debt is guaranteed by SBB Parent), totalling about SEK7.6 billion, are structurally subordinated to creditors of SBB Holding following the transaction. The exchanged bonds have no cross-default with SBB Parent should the event of default claim against SBB Parent for an interest cover covenant breach be successful. The SBB Holding bonds also have a new interest cover covenant in place. Unsecured Recoveries: The Recovery Ratings on the new SBB Holding senior unsecured instruments now include equal-ranking debt instruments issued in exchange for SBB Parent's discounted hybrids. SBB Parent's hybrids of EUR326.7 million have now become SBB Holding unsecured debt of EUR154 million (SEK1.8 billion). Fitch now estimates recoveries for SBB Holding's senior unsecured bonds at 43%, equivalent to 'RR4'. Weak Financial Profile: SBB Holding's leverage is similar to SBB Parent's previous profile and remains very high regardless of which metric is used. Without cash dividends from its joint ventures (JVs), Fitch forecasts net debt/EBITDA at around 26.4x in 2025. Fitch expects SBB Holding to be able to cover cash interest expense during 2024-2027 with cash from operations, helped by its low cost of debt of about 2.3%. The key to SBB Holding's sustainability will be its ability to continue raising liquidity to meet its sizable 2026 and 2027 bond maturities, particularly as the capital markets remain unreceptive. Options to Raise Liquidity: SBB Holding can raise cash through various available options to meet debt maturities after 2025. These include asset sales, sale of retained JV stakes, and raising external capital on its remaining wholly-owned community service portfolio, possibly through asset-backed transactions similar to the Castlelake JVs, another strategic partnership or IPO. If SBB Holding opts to segregate a portion of debt specifically for its community service portfolio, this would effectively make SBB Parent an investment holding company for any of its remaining debt holders. Minimal Effect from EofD Claim: The ongoing EofD claim against SBB Parent, which is set to be addressed in UK courts during 1Q25, stemming from an alleged interest coverage covenant breach tested in 2022, has minimal effect on SBB Holding's debt. The absence of a cross-default with SBB Parent should ensure that SBB Holding will not default if the court rules against SBB Parent. Additionally, Fitch understands from management that if EofD-claiming bondholders have exchanged into SBB Holding debt, they will not hold SBB Parent bonds when they appear in court in January 2025. Derivation Summary Fitch views SBB group's Nordic property portfolio as stable, supported by the education and community service properties' stable tenant base with long-term indexed leases. This is tempered by the regional location of some assets within SBB's portfolio. The SBB group also owns residential-for-rent assets, including 56% of Sveafastigether AB which owns SEK27.8 billion of residential assets. Within the community service portfolio, one SBB Holding peer is Assura plc (A-/Negative), which builds and owns modern general practitioners' facilities in the UK, with approved rents indirectly paid by the state National Health Service and a similar 11.2 years weighted average unexpired lease term (WAULT). At GBP2.7 billion (EUR3.2 billion), its portfolio is much smaller than SBB Parent's. Reflecting Assura's community service activities, its net initial yield as of end-March 2024 was 5.1% versus SBB Holding's 5.3% for its Nordic community service assets at end-2023. Assura has a 99% occupancy rate and specific-use assets. Assura's downgrade rating sensitivity to 'BBB+' includes net debt/EBITDA greater than 9x. The smaller EUR0.8 billion portfolio of higher-rated Norwegian-based Public Property Invest ASA (PPI; BBB/Stable) is community service-focused also with public sector tenants. PPI's business profile is, however, paired with a stronger balance sheet with net debt/EBITDA below 8x, loan-to-value around 45% and an interest cover around 2x. Under Fitch's EMEA Real Estate Navigator, many of SBB group's portfolio-focused factors are investment-grade. Key Assumptions Fitch's Key Assumptions Within Its Rating Case for the Issuer - Moderate rental growth of 3.5% per year, driven by CPI-indexation and rental uplifts - Stable net rental income margins - No dividends from SBB Holding's JVs - Cash shareholder loan interest from Nordiqus included - Completion of existing development projects and modest spend thereafter. Total capex to average around SEK350 million annually - Unsubordinated loans from other SBB entities of about SEK6 billion treated as debt Recovery Analysis Its recovery analysis assumes that SBB Holding would be liquidated rather than restructured as a going-concern (GC) in a default. SBB Holding's recoveries are based on the end-3Q24 independent valuation of the investment property portfolio. Fitch has used the 3Q24 non-pledged property values of around SEK22.9 billion as unencumbered investment property assets. This deducts pledged properties transferred to Sveafastigheter after end-3Q24. Fitch applies a standard 20% discount to these values. Fitch assumes no cash is available for recoveries, even though this cash is now being used to prepay the 2025 group debt maturities. Mirroring these 2025 debt maturities, Fitch includes SBB Holdings' EUR6 billion "other liabilities to SBB entities" as unsecured debt totalling SEK38 billion. This analysis also attributes zero value to various investments in equity stakes, including the SEK9.1 billion Nordiqus equity, SEK4.7 billion Sveafastigheter equity, and SEK5.3 billion Nordiqus vendor loan. After deducting a standard 10% for administrative claims, the total amount of unencumbered investment property assets Fitch assumes available to unsecured creditors is around SEK16.5 billion. Fitch's principal waterfall analysis generates a ranked recovery for senior unsecured debt of 'RR4', equivalent to a waterfall-generated recovery computation output percentage of 43% based on current metrics and assumptions. The 'RR4' indicates a 'CCC+' unsecured debt instrument rating. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Failure to execute, or provide visibility, of a plan to address the August 2026 debt maturity at least 12 months in advance - Actions pointing to a widespread potential renegotiation of SBB Holding's debt's terms and conditions, including a material reduction in lenders' terms sought to avoid a default - Reduction in SBB Holding's directly-held unencumbered investment property portfolio relative to its unsecured debt would lead to a lower Recovery Rating and senior unsecured rating Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Evidence that refinancing risk has eased, including improved capital markets receptivity to the SBB group - Proceeds from successful disposals used to prepay the sizeable 2026 debt maturities, and increasing liquidity - A material reduction in leverage Liquidity and Debt Structure The SBB group's available cash at end-3Q24 was SEK1.5 billion, of which SEK342 million was attributed to Sveafastigheter. This is further supported by about SEK3.1 billion Sveafastigheter IPO net proceeds and a SEK2.5 billion asset-backed facility signed during 4Q24. Together these sources cover the post-tendered remaining 2025 unsecured debt maturities of around SEK4.7 billion. These cash sources are currently held at SBB Holding. Beyond 2025, SBB Holding's next debt material maturity is its EUR507.9 million/SEK5.8 billion eurobond in August 2026. Pro-forma for the bond exchanges SBB Holding will mirror SBB Parent's average cost of debt at 2.3% at end-3Q24, excluding hybrids (averaging 3.3%), the higher-coupon Morgan Stanley preference shares (at 13%) in SBB Residential Property AB and the debt raised in the non-consolidated Castlelake-funded SBB Infrastructure AB and SBB Social Facilities (375bp-500bp plus STIBOR/EURIBOR). Derivatives, together with fixed-rate debt, provide interest rate coverage of SBB Holding's debt for 3.3 years on average. MACROECONOMIC ASSUMPTIONS AND SECTOR FORECASTS Fitch's latest quarterly Global Corporates Macro and Sector Forecasts data file which aggregates key data points used in its credit analysis. Fitch's macroeconomic forecasts, commodity price assumptions, default rate forecasts, sector key performance indicators and sector-level forecasts are among the data items included. ESG Considerations SBB Holding has an ESG Relevance Score of '4' for Governance Structure to reflect previous key person risk (the previous CEO) and continuing different voting rights among SBB Parent shareholders affording greater voting rights to the key person. SBB Holding has an ESG Relevance Score '4' for Financial Transparency, reflecting an ongoing investigation by the Swedish authorities into the application of accounting standards and disclosures. Both these considerations have a negative impact on the credit profile, and are relevant to the ratings in conjunction with other factors. These factors are, however, improving under the new SBB management. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. Entity/Debt Rating Recovery ----------- ------ -------- Samhallsbyggnadsbolaget i Norden Holding AB (publ) LT IDR CCC+ New Rating senior unsecured LT CCC+ New Rating RR4 SBB PARENT: Fitch Lowers LongTerm IDR to CCC & Keeps Watch Neg. --------------------------------------------------------------- Fitch Ratings has downgraded SBB - Samhallsbyggnadsbolaget i Norden AB's (SBB Parent) Long-Term Issuer Default Rating (IDR) to 'CCC' from 'CCC+' and its senior unsecured debt rating to 'CC'/RR6 from 'CCC+'/RR4. Both ratings remain on Rating Watch Negative (RWN). The rating actions reflect the transfer of SBB Parent's real estate assets and, following a recent offer to bondholders, the bulk of the group's liabilities to its subsidiary Samhallsbyggnadsbolaget i Norden Holding AB (publ) (SBB Holding). This weakens SBB Parent's credit profile, whose main SEK3.2 billion of assets cannot meaningfully support its SEK19 billion of retained debt. These assets are attached to its secured debt and are not available to SBB Parent's predominantly unsecured bondholders. The RWNs incorporate tight liquidity and the SBB Parent-contested formal claim of a covenant breach in 2022, which is currently proceeding in the UK courts. If the courts decide that a covenant breach did occur this could result in an event of default (EofD). Depending on the relevant bondholders' response, such an outcome may result in a further downgrade. Key Rating Drivers Bulk of Bonds Exchanged: SBB Parent made a voluntary cash tender offer for its unsecured bonds maturing in 2025, repayable in cash, and a voluntary exchange offer for its unsecured bonds maturing between 2026 and 2029, at par, with unchanged coupons and maturity dates with new bonds issued by SBB Holding. The tender prepaid only about SEK1.3 billion of 2025 debt maturities, and cancelled SEK0.7 billion of SBB Parent-held bonds. The remaining 2025 maturity bonds of SEK4.7 billion will remain at SBB Parent. The SBB group's liquidity is sufficient to meet these 2025 debt maturities. The completed exchange offer saw SEK32 billion of 2026 to 2029 debt transferred to SBB Holding as unsecured bonds. These new exchanged bonds are also guaranteed by SBB Parent. Unsecured bondholders who remain with SBB Parent or SBB Treasury Oyj (whose debt is guaranteed by SBB Parent), totalling about SEK7.7 billion (including 2025 debt maturities), are now structurally subordinated to creditors in SBB Holding following the transaction. Some SEK8.6 billion of hybrids also remain at SBB Parent. Unsecured Creditors' Assets Insufficient: About SEK3.2 billion of income-producing assets retained at SBB Parent are pledged to specific SEK2.4 billion of secured debt. To fund its retained 2025 debt maturities, an intergroup instrument exists with SBB Holding, who holds the bulk of group cash. Rental income is insufficient to service SBB Parent's retained debt and will rely on cash upstreamed from SBB Holding to meet interest payments and redeem maturities due in 2026 and beyond. Headroom exists under SBB Holding's unsecured bond covenants to allow upstreaming of cash (or restricted distributions, as defined in bond documentation) to SBB Parent. Options to Raise Liquidity: SBB Parent, on its own, does not have many options to raise cash to repay bonds maturing in 2026 and beyond. Liquidity will need to be raised at SBB Holding through various options at its disposal, including asset sales, sale of retained joint venture stakes, raising external capital on its remaining wholly-owned community service portfolio, possibly through asset-backed transactions similar to the Castlelake JVs, forming another strategic partnership, issuing an IPO, and upstreaming cash within available covenant headroom. Weakened Credit Profile: SBB Parent's rating is driven by its small asset base and insufficient rental income generation, which translates into less than 1x EBITDA net interest cover, despite the continuing deferral of hybrid interest. Fitch differentiates SBB Parent's weakened credit profile from its stronger subsidiary, SBB Holding, and the structural subordination of its bondholders by rating SBB Parent one notch below SBB Holding's IDR. Lower Unsecured Debt Recoveries: The Recovery Ratings on the remaining senior unsecured instruments are adversely affected by SBB Parent's minimal asset base. Fitch estimates minimal to no recoveries for unsecured bondholders at SBB Parent in a default, which translates into a 'RR6' Recovery Rating. This analysis does not attribute any value to its various investments in equity stakes, including Public Property Invest AS (BBB/Stable). Hybrids Lose Equity Credit: SBB's exchange offer shows that SBB Parent no longer views hybrids a long-term component of its capital structure. The transfer has resulted in EUR327 million of SBB Parent's hybrids being converted into unsecured debt of EUR154 million (SEK1.8 billion) at SBB Holding. Fitch therefore no longer applies equity credit to the SEK8.6 billion hybrid bonds retained by SBB Parent, due to their lack of permanence under Fitch's "Corporates Hybrids Treatment and Notching Criteria", and these non-performing instruments are rated 'C', three notches below the IDR. EofD Claim Continues: SBB Parent continues to face the risk of an EofD if the UK high court rules in favour of the formal claim by a sole bondholder of an interest coverage covenant breach tested in 2022. However, a final decision may not be reached until end-1H25. In recent weeks, SBB Parent has received letters from more bondholders expressing their intention to accelerate, which it views as ineffective. Fitch understands from management that if EofD-claiming bondholders have exchanged their bonds, they will not hold SBB Parent bonds when they appear in court in January 2025. Derivation Summary The SBB group's stable Nordic property portfolio is supported by the education and community service properties' stable tenant base with long-term indexed leases. This is tempered by the regional location of some assets within the group's portfolio. The SBB group also owns residential-for-rent assets, including 56% of Sveafastigheter AB, which owns SEK27.8 billion of residential assets. Within the community service portfolio, Assura plc (A-/Negative) builds and owns modern general practitioners' facilities in the UK, with approved rents indirectly paid by the state National Health Service and a similar 11.2 years weighted average unexpired lease term (WAULT). At GBP2.7 billion (EUR3.2 billion), its portfolio is much smaller than the SBB group's. Reflecting Assura's community service activities, its net initial yield as of September 2023 was 5% versus SBB's 5.3% for its Nordic community service assets at end-2023. Assura has a 99% occupancy rate and specific-use assets. Assura's downgrade rating sensitivity to 'BBB+' includes net debt/EBITDA greater than 9x. The smaller EUR0.8 billion portfolio of higher-rated Norwegian-based Public Property Invest ASA (PPI; BBB/Stable) is community service-focused also with public sector tenants. PPI's business profile is, however, paired with a stronger balance sheet with net debt/EBITDA below 8x, loan-to-value around 45% and an interest cover around 2x. Under Fitch's EMEA Real Estate Navigator, many of the SBB group's portfolio-focused factors are investment-grade. Key Assumptions Fitch's Key Assumptions Within Its Rating Case for the Issuer - Moderate rental growth of 3.5% per year, driven by CPI-indexation and rental uplifts - Stable net rental income margins - Hybrid interest deferred Recovery Analysis Its recovery analysis assumes that SBB Parent would be liquidated rather than restructured as a going-concern (GC) in a default. Recoveries are based on the end-3Q24 independent valuation of its investment property portfolio. Fitch has used SBB Parent's retained property's values of around SEK3.2 billion, to which it has applied a standard 20% discount. Fitch has used SBB Parent's updated retained unsecured and subordinated hybrid debt amounts, after some bonds were exchanged into bonds at SBB Holding. Fitch assumes no cash is available for recoveries. This analysis attributes zero value to various investments in equity stakes, including the SEK1.9 billion attributable value of Public Property Invest AS's equity. After deducting a standard 10% for administrative claims, Fitch assumes that no unencumbered investment property assets are available to unsecured creditors. Existing directly-held investment property is dedicated to SEK2.4 billion secured creditors who rank ahead of SBB Parent's unsecured creditors. Fitch's principal waterfall analysis generates a ranked recovery for senior unsecured debt of 'RR6', which is equivalent to a waterfall-generated recovery computation output percentage of 0% based on current metrics and assumptions. The 'RR6' indicates a 'CC' unsecured debt instrument rating. Given the structural subordination of SBB Parent's hybrids, Fitch estimates a ranked recovery of 'RR6' with 0% expected recoveries. As loss-absorption has been triggered with deferral of coupons, the instrument rating is 'C', three notches below SBB Parent's IDR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Failure to execute, or provide visibility, of a plan to address the retained euro-denominated (SEK465 million-equivalent) September 2026 debt maturity at least 12 months in advance - Actions pointing to a widespread potential renegotiation of SBB Parent's debt's terms and conditions, including a material reduction in lenders' terms sought to avoid a default Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Evidence that refinancing risk has eased, including improved capital markets receptivity to the SBB group - A material reduction in leverage Liquidity and Debt Structure SBB Parent's available liquidity at end-3Q24 was SEK1.5 billion. Most of SBB Parent's group cash including SEK3.1 billion Sveafastigheter IPO proceeds, are now held at SBB Holding. SBB Parent uses an intergroup loan mechanism to repay its 2025 debt maturities with cash at SBB Holding. SBB Parent also has access to an undrawn SEK2.5 billion asset asset-backed facility held at SBB Holding. It has no revolving credit facilities available for drawdown. The next debt material maturity, following the potential repayment of its retained 2025 bonds, is its euro-denominated (SEK465 million-equivalent) bond in September 2026. SBB Parent's average cost of debt at end-3Q24 was 2.3%, excluding hybrids (averaging 3.3%) and the higher-coupon Morgan Stanley preference shares (13% coupon) in SBB Residential Property AB. MACROECONOMIC ASSUMPTIONS AND SECTOR FORECASTS Fitch's latest quarterly Global Corporates Macro and Sector Forecasts data file which aggregates key data points used in its credit analysis. Fitch's macroeconomic forecasts, commodity price assumptions, default rate forecasts, sector key performance indicators and sector-level forecasts are among the data items included. ESG Considerations SBB Parent has an ESG Relevance Score of '4' for Governance Structure to reflect previous key person risk (the previous CEO) and continuing different voting rights among shareholders affording greater voting rights to the key person. SBB Parent has an ESG Relevance Score '4' for Financial Transparency, reflecting an ongoing investigation by the Swedish authorities into the application of accounting standards and disclosures. Both these considerations have a negative impact on the credit profile, and are relevant to the ratings in conjunction with other factors. These factors are, however, improving under the new SBB management. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- SBB – Samhallsbyggnadsbolaget i Norden AB LT IDR CCC Downgrade CCC+ ST IDR C Rating Watch Maintained C senior unsecured LT CC Downgrade RR6 CCC+ subordinated LT C Affirmed RR6 C senior unsecured ST C Rating Watch Maintained C SBB Treasury Oyj senior unsecured LT CC Downgrade RR6 CCC+ =========== T U R K E Y =========== TURKCELL ILETISIM: Fitch Affirms 'BB-' LongTerm IDR, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has affirmed Turkcell Iletisim Hizmetleri A.S's (Tcell) Long-Term Issuer Default Rating (IDR) at 'BB-' with a Stable Rating Outlook. Fitch has also affirmed its senior unsecured instrument rating at 'BB-' and assigned a 'BB-(EXP)' expected rating to the USD1 billion senior unsecured Eurobonds Fitch expects to be issued early 2025. The Recovery Ratings are 'RR4'. Tcell's ratings are constrained by Turkiye's 'BB-' Country Ceiling. The ratings reflect a sound financial profile with strong EBITDA margins and positive free cash flow (FCF) despite inflationary pressures and continued considerable fibre-to-home (FTTH) capex. Rating strengths remain Tcell's leading market share in mobile in Turkiye, a growing fibre broadband customer base and low leverage. Fitch-defined EBITDA net leverage was low at 0.6x at end-2023. Fitch expects Tcell to maintain ample leverage headroom for its rating over the next four years giving scope to manage operating environment risks. Key Rating Drivers Strong Market Positions: Tcell is Turkiye's leading mobile operator and second-largest fixed-line telco. Its mobile subscriber share remained 41% at end-2Q24, which positions it strongly ahead of closest rival Vodafone at 31% and Turk Telekomunikasyon A.S. (TT) at 28%. Its fixed broadband subscriber market share continued to grow to 15.4% in 2Q24 from 13.7% in 2Q21. With a fixed-line strategy investing in fibre and an increased focus on digital applications and services, Fitch expects Tcell to continue to benefit from market growth, strong margins and positive cash flow generation. Strong Profitability Despite High Inflation: Tcell continues to effectively navigate the high inflationary environment (inflation remains high in Turkiye with an annualised 47% as of November 2024), via continued inflation-adjusted price revisions within both mobile and fixed-line services. The strategy of shifting customers to 12-month contracts in the fixed segment initiated in 2Q22 contributed to limiting the delaying effect of inflation on Tcell's growth. Fitch expects the Fitch-defined EBITDA margin to remain stable at about 31% in 2024-2026, supported by regular price increases and lower energy cost volatility. This is partly offset by cost inflation and increased subscriber acquisition costs that Fitch deducts from EBITDA. In line with its solar energy investment strategy, Tcell aims to install 300 MW of solar panels by 2026, which will serve as a natural hedge against rising energy costs. Increasing Capex, Positive FCF: Fitch expects FCF margins to remain positive 3%-6% in 2024-2026, albeit lower than previous years due to an anticipated rise in capex. Its base case assumes capex increases to 24%-25% of revenues in 2025-2027 from 22% in 2023. This is due to a 5G spectrum auction expected in 2025 and the following 5G network roll-out obligations, further upgrades to the existing mobile infrastructure, continued expansion of the fibre network, and investments in solar projects and data centres. Low Leverage: Tcell has maintained low EBITDA net leverage at 0.6x-1.1x over the last three years, primarily supported by strong double-digit EBITDA growth, a rational dividend policy and a prudent approach to debt hedging. This offsets increased debt due to Turkish lira depreciation. Fitch expects leverage to be 0.4-0.5x in 2024-2026, which is well below its negative sensitivity of 3.2x Managed FX Risk: Tcell proactively addresses currency risks to mitigate the negative impact of local currency weakness. Debt is mainly raised in US dollars (40% of total debt as of 3Q24) and euros (35%) but also in Turkish lira (21%). The company uses short-term hedges and holds the majority of its cash balances in hard currencies (57% in US dollars and 21% in euro). Sustained low leverage in 2020-2023 and healthy foreign-currency positions (USD228 million net long FX position at end-3Q24) despite a sharp depreciation of the lira underlines prudent and efficient management of currency risk. Rated on Standalone Basis: Fitch rates Tcell on a standalone basis under its recently updated Government-Related Entities (GRE) Criteria. Fitch views Tcell as a GRE of Turkiye (BB-/Stable) with the Turkish government (through the Turkiye Wealth Fund; TWF; BB-/Stable) owning 25% shares and having 58% voting rights of the company. Fitch scores one of the responsibility-to-support factors as 'Strong' with the remaining key risk factors as 'Not Strong Enough', resulting in a support score under 10 out of a maximum 60, meaning virtually no expectation of support. Rating Not Constrained by Sovereign: Tcell's rating is not automatically constrained by Turkiye's IDR as its debt is ring-fenced from TWF and extraction of excessive dividends is limited by capital markets laws. High minority interest also makes any excessive dividends unlikely. Derivation Summary Tcell's ratings are on par with its closest peer TT (BB-/Stable). TT has a similar operating profile, although its strength stems from its incumbent fixed-line operations, but higher leverage. Both undertake active debt management using derivative instruments. Absent FX risk and associated sovereign pressures, Tcell has similar or stronger business and financial profiles to those of higher-rated western European telecom peers such as Royal KPN N.V. (BBB/Stable) and Telefonica Deutschland Holding AG (BBB/Stable). Tcell has stronger growth potential than these peers, even when adjusted for inflation and similar or lower leverage. Tcell's ratings are constrained by the sovereign Country Ceiling. Key Assumptions - Revenue growth of 67% in 2024, gradually slowing to around 22% in 2027, reflecting its view that inflation will begin to slow after 2024 - Fitch-defined EBITDA margins of around 31% in 2024-2027 - Capex at 23%-25% of revenue in 2024-2027 - Net working capital changes of -3% of revenue per year in 2024-2027 - Dividend payments of around 45% of net income in 2024-2027 - No M&A in 2024-2027 RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - EBITDA net leverage above 3.2x on a sustained basis - Material deterioration in pre-dividend FCF margins, or in the regulatory or operating environments - Sustained increase in FX mismatch between net debt and cash flows - A downgrade of Turkiye's Country Ceiling - Excessive reliance on short-term funding, without adequate liquidity over the next 12-18 months Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - An upgrade of Turkiye's Country Ceiling, assuming no change in Tcell's underlying credit quality Liquidity and Debt Structure Tcell reported cash of TRY81 billion and TRY15.7 billion of very liquid financial investments at end-3Q24, which is sufficient to address short-term liabilities of TRL59 billion maturing in 2024-2025. Liquidity is further supported by positive FCF generation Fitch expects in 2024-2027 and USD120 million of committed credit facilities available as of end-2023. Issuer Profile Tcell is a telecoms operator in Turkiye with a leading market share in mobile segment and a number two position in fixed broadband. MACROECONOMIC ASSUMPTIONS AND SECTOR FORECASTS Fitch's latest quarterly Global Corporates Macro and Sector Forecasts data file which aggregates key data points used in its credit analysis. Fitch's macroeconomic forecasts, commodity price assumptions, default rate forecasts, sector key performance indicators and sector-level forecasts are among the data items included. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- Turkcell Iletisim Hizmetleri A.S LT IDR BB- Affirmed BB- Natl LT AAA(tur)Affirmed AAA(tur) senior unsecured LT BB-(EXP)Expected Rating RR4 senior unsecured LT BB- Affirmed RR4 BB- =========================== U N I T E D K I N G D O M =========================== EDENBROOK MORTGAGE: Moody's Affirms Ba1 Rating on GBP4.6MM E Notes ------------------------------------------------------------------ Moody's Ratings has downgraded the rating of one note in Edenbrook Mortgage Funding PLC. The rating action reflects downgrade of BNP PARIBAS's Counterparty Risk assessment ("CR assessment") to A1(cr) acting as swap counterparty. Moody's affirmed the ratings of the notes that had sufficient credit enhancement to maintain their current ratings. GBP277.8M Class A Notes, Affirmed Aaa (sf); previously on Jul 22, 2024 Definitive Rating Assigned Aaa (sf) GBP125M Class A Loan, Affirmed Aaa (sf); previously on Jul 22, 2024 Assigned Aaa (sf) GBP23M Class B Notes, Downgraded to Aa2 (sf); previously on Jul 22, 2024 Definitive Rating Assigned Aa1 (sf) GBP20.7M Class C Notes, Affirmed A1 (sf); previously on Jul 22, 2024 Definitive Rating Assigned A1 (sf) GBP9.2M Class D Notes, Affirmed Baa2 (sf); previously on Jul 22, 2024 Definitive Rating Assigned Baa2 (sf) GBP4.6M Class E Notes, Affirmed Ba1 (sf); previously on Jul 22, 2024 Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE The rating action is prompted by the downgrade of BNP PARIBAS's CR assessment to A1(cr). Counterparty Exposure The rating actions took into consideration the notes' exposure to relevant counterparties, such as swap provider. Moody's assessed the exposure to BNP PARIBAS acting as swap counterparty. Moody's analysis considered the risks of additional losses on the notes if they were to become unhedged following a swap counterparty default by using the CR assessment as reference point for swap counterparties. Moody's concluded that the ratings of the B notes are constrained by the swap agreement entered between the issuer and BNP PARIBAS. As a result, Moody's downgraded the Class B Notes. The principal methodology used in these ratings was "Residential Mortgage-Backed Securitizations" published in October 2024. The analysis undertaken by us at the initial assignment of ratings for RMBS securities may focus on aspects that become less relevant or typically remain unchanged during the surveillance stage. Factors that would lead to an upgrade or downgrade of the ratings: Factors or circumstances that could lead to an upgrade of the ratings include (1) performance of the underlying collateral that is better than Moody's expected, (2) an increase in available credit enhancement and (3) improvements in the credit quality of the transaction counterparties. Factors or circumstances that could lead to a downgrade of the ratings include (1) an increase in sovereign risk, (2) performance of the underlying collateral that is worse than Moody's expected, (3) deterioration in the notes' available credit enhancement and (4) deterioration in the credit quality of the transaction counterparties. SURPIQUE ACQUISITION: Fitch Puts 'CCC-' LongTerm IDR on Watch Neg. ------------------------------------------------------------------ Fitch Ratings has placed Surpique Acquisition Limited's (Surpique) Long-Term Issuer Default Rating (IDR) and Farfetch US Holdings, Inc.'s senior secured term loan B (TLB) - both at 'CCC-' - on Rating Watch Negative (RWN). The TLB has a Recovery Rating of 'RR4'. The RWN reflects its view of increased risk of a deterioration in Surpique's credit profile, due to potential pressure on liquidity or the possibility that the current crisis at its licensed business may spill over to the wider group, leading to a form of default under Fitch's criteria. This follows a large claim linked to Surpique's Reebok license termination against its Italian subsidiaries. To safeguard itself, Surpique's Italian subsidiaries entered into a "Composizione Negoziata della Crisi" (CNC) court-supervised process in mid-November 2024, which Fitch views as a technical default under the TL B loan documentation. Surpique's 'CCC-' rating continues to incorporate a one-notch uplift for financial support from its 80% strategic investor Coupang. The latter, together with Greenoaks Capital, acquired the de-facto insolvent business, has injected USD300 million and committed to a further USD200 million until 30 January 2025. Surpique's business continues to absorb cash, though losses narrowed in 3Q24. Key Rating Drivers Court Protection Sought in Italy: The CNC's temporary process protects its Italian subsidiaries from creditors' action. In its view, the process constitutes a technical event of default under the TLB. Fitch has no evidence that the lenders have called an acceleration of debt, but Fitch believes they retain this right that, if exercised, may lead to some form of default under Fitch's criteria and a near-term downgrade of Surpique, which Fitch has reflected in the RWN. However, there is no payment default at present, while Surpique is actively exploring disposals, with liquidity remaining adequate. Significant Claim: New Guards Group Holding S.p.A. (NGG), an Italian subsidiary of Surpique that manages the group's business of owned or licensed fashion brands, has received notice of termination of its license for the distribution and development of Reebok brand in the European market from Authentic Brands Group LLC (ABG), the company that controls sneaker-maker Reebok. ABG is also seeking a substantial monetary compensation for future unearned royalties, a sum that neither NGG nor Surpique can manage to pay. Surpique is using the CNC process to gain time to negotiate the options available to it. Liquidity Risks Increased: Surpique reported it retains cash on its balance sheet as of 30 September, which is supported by resources that remain available under the shareholders' committed equity line-up until January 2025. Nevertheless, Fitch believes Surpique may need additional cash if free cash flow (FCF) remains negative and if it decides or is required to provide material support to NGG. In its view, the ABG claim and the fact that Surpique's cash balances are spread out across its countries of operation and not all readily accessible, may increase Surpique's vulnerability to liquidity pressures from suppliers. Underlying Trading Improving: Surpique reported narrowing losses in 3Q24, but its business continued to absorb cash. It has managed to cut central costs and is on track to return to positive earnings. Surpique has not shared an updated business plan, while its guidance of near break-even EBITDA was met in 3Q24. A disposal of NGG and its operations - as a material contributor to group's revenues - or a closure of parts of its business, will shrink the group's size and may require further cost-cutting. Strategic Investor Credit-Positive: The presence of Coupang is overall positive for Surpique's credit profile. Fitch believes Surpique's assets and business represent strategic value for Coupang, based on the investor's total equity commitment of USD500 million, part of which remains available until 30 January 2025. While Coupang lacks expertise in the luxury sector and Surpique's main markets Surpique is benefiting from the investor's operational expertise and efficiency. Supportive Parent-Subsidiary Linkage: The 'CCC-' IDR is based on its parent-subsidiary linkage assessment of a stronger parent in Coupang and a weaker subsidiary in Surpique. Fitch views the recently acquired assets as having moderate strategic importance for Coupang, which has committed further cash support to turn Surpique around. However, operational and legal ties between the two entities are weak. Consequently, Fitch applies a bottom-up approach with a single-notch uplift from Surpique's 'cc' Standalone Credit Profile (SCP). Fitch would remove the uplift if Coupang ceases to support the subsidiary. This is an update of a release originally published on 19 December 2024. Unclear Turnaround Plan: The company had continued to burn cash under the previous ownership until end-2023 and was then acquired in a state of de-facto insolvency. The new management is currently addressing operational and strategic issues, but Surpique has not shared any updated business plan. Fitch assumes its medium-term strategy could still take time to be devised under Coupang's ownership. Financial Transparency and Disclosure: The rating is negatively affected by its assessment of Surpique's quality and timing of financial disclosure, which does not allow investors to assess on a timely and granular basis, the company's financial position. A transparent disclosure of Surpique's current economic and financial position, along with a credible business plan, are instrumental to its assessment of its medium-term credit quality. Derivation Summary Fitch does not rate direct competitors of Surpique. However, Fitch has considered companies such as Golden Goose S.p.A. (B+/Stable) and Birkenstock Holding plc (BB/Positive) in the luxury shoes/sneakers space, Levi Strauss & Co. (BB+/Stable) and Capri Holdings Limited (BB/ Negative) in the branded apparel space and Amazon.com, Inc. (AA-/Stable) in the e-commerce space for its analysis. All these are more mature businesses with proven EBITDA and cash flow generation. Key Assumptions Fitch will update its key assumptions after an updated strategy is provided. Recovery Analysis The recovery analysis continues to assume that Surpique would be reorganised as a going-concern (GC) in bankruptcy rather than liquidated. Fitch estimates Surpique's post-restructuring GC EBITDA at USD100 million, unchanged from the previous review. The GC EBITDA assumes a credible turnaround plan is devised, which would allow the business to regain commercial viability. Fitch has used a 3.0x enterprise value (EV)/EBITDA multiple, which is low and reflects significant uncertainty in achieving the GC EBITDA. After deducting 10% for administrative claims from an estimated GC EV of USD300 million, its principal waterfall analysis generates a ranked recovery for the senior secured USD570 million TLB, issued by Farfetch US Holdings, Inc. in the 'RR4' category, leading to a 'CCC-' rating for the TLB, in line with its IDR. The waterfall analysis output percentage based on metrics and assumptions is 47%, up from 43% at the previous review, due to a reduction in debt. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Resolution of Rating Watch - A resolution of the current commercial dispute in an orderly manner and a visibility of the final liability amount allowing Surpique to retain sufficient liquidity and retain its GC status Factors that Could, Individually or Collectively, Lead to a Downgrade - Near-term liquidity crisis, leading to an inevitable TLB payment default, or evidence of a debt restructuring, which Fitch may view as a distressed debt exchange - Evidence of shareholder support being withdrawn Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Evidence of stronger strategic, operational and legal links with Coupang confirming its commitment to support the business - An updated business plan showing a clear path to profitability - Sufficient liquidity to cover medium-term business needs and debt service Liquidity and Debt Structure Fitch believes Surpique has adequate liquidity at present, given the cash on its balance sheet and remaining cash equity commitment by its shareholders. However, liquidity will weaken if the business continues to absorb cash and if Surpique decides or is required to provide support to its Italian operations. Issuer Profile Surpique is the global leading marketplace for personal luxury fashion, including clothes and accessories. MACROECONOMIC ASSUMPTIONS AND SECTOR FORECASTS Fitch's latest quarterly Global Corporates Macro and Sector Forecasts data file which aggregates key data points used in its credit analysis. Fitch's macroeconomic forecasts, commodity price assumptions, default rate forecasts, sector key performance indicators and sector-level forecasts are among the data items included. ESG Considerations Surpique has an ESG Relevance Score of '5' for management strategy due to a record of ineffective and poorly executed corporate strategy, and still limited visibility about the sustainability of its turnaround plan and business recovery prospects. This has a negative impact on the credit profile, and is highly relevant to the rating, resulting in an implicitly lower rating. Surpique has an ESG Relevance Score of '5' for financial transparency, due to its quality and timing of financial disclosure, which does not allow investors to assess, on a timely and clear basis, the company's financial position. This has a negative impact on the credit profile, and is highly relevant to the rating, resulting in an implicitly lower rating. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. Entity/Debt Rating Recovery ----------- ------ -------- Surpique Acquisition Limited LT IDR CCC- Rating Watch On Farfetch US Holdings, Inc. senior secured LT CCC- Rating Watch On RR4 TIME GB (BRECON): FRP Advisory Named as Joint Administrators ------------------------------------------------------------ Time GB (Brecon) Limited was placed into administration proceedings in the High Court of Justice Business and Property Courts in Leeds, Court Number: CR-2024-LDS-001215, and Gary Hargreaves and Anthony Collier of FRP Advisory Trading Limited, were appointed as joint administrators on Dec. 6, 2024. Time GB (Brecon) specializes in recreational vehicle parks, trailer parks and camping grounds. Its registered office is at Bishops Meadow Holiday Park, Hay Road, Brecon, Powys, LD3 9SW in the process of being changed to C/o FRP Advisory Trading Limited, 4th Floor, Abbey House, 32 Booth Street, Manchester, M2 4AB. Its principal trading at Bishops Meadow Holiday Park, Hay Road, Brecon, Powys, LD3 9SW. The joint administrators can be reached at: Gary Hargreaves Anthony Collier FRP Advisory Trading Limited Derby House, 12 Winckley Square Preston, PR1 3JJ Further details contact: The Joint Administrators Tel No: 0161 833 3344 Alternative contact: Cameron Murray Email: cp.manchester@frpadvisory.com TOUCHPOINT LIVE: LA Business Named as Administrators ---------------------------------------------------- Touchpoint Live Media Limited was placed into administration proceedings in the High Court of Justice, Court Number: CR-2024-006966, and Virgil H Levy of LA Business Recovery was appointed as administrator on Nov. 18, 2024. Touchpoint Live, trading as DogFest, DogFest Retreats, Big Dog Walk, DogLife360, is an exhibition and fair organizer. Its registered office is at 1 Beasley's Yard, 126 High Street, Uxbridge, Middlesex, UB8 1JT. The administrator can be reached at: Virgil H Levy LA Business Recovery 1 Beasley's Yard, 126 High Street Uxbridge, Middlesex, UB8 1JT Further Details Contact: LA Business Recovery Tel No: 0189 581 9460 Email: info@labr.co.uk UK LOGISTICS 2024-2: DBRS Finalizes BB Rating on Class E Notes -------------------------------------------------------------- DBRS Ratings Limited finalized its provisional credit ratings on the following classes of notes issued by UK Logistics 2024-2 DAC (the Issuer): -- Class A notes at AAA (sf) -- Class B notes at AA (low) (sf) -- Class C notes at A (low) (sf) -- Class D notes at BBB (low) (sf) -- Class E notes at BB (sf) The trends on all classes are Stable. CREDIT RATING RATIONALE UK Logistics 2024-2 DAC is a securitization of two floating-rate senior commercial real estate (CRE) loans. The Mileway facility of GBP 164.2 million and the Indurent facility of GBP 225.2 million were advanced to borrowers ultimately owned by Blackstone Real Estate Partners (Blackstone or the Sponsor) by Bank of America Europe DAC and Morgan Stanley Principal Funding, Inc. (Loan Sellers) in connection with refinancing the acquisition of two logistics portfolios comprising 4 million square feet (sf) of standing logistics assets and 3 million sf of industrial outdoor storage (IOS) assets in the United Kingdom, largely concentrated in the South East, including the greater London area. MILEWAY The Mileway loan was advanced by the Loan Sellers to four borrowers (the Mileway Borrowers) ultimately owned by Blackstone for the purpose of refinancing existing indebtedness of the Mileway Borrowers (and other members of the borrower group), refinancing the acquisition of the Mileway property portfolio, for general corporate purposes, and financing or refinancing the financing costs. Each Borrower is a private limited liability company incorporated under the laws of Jersey. The collateral securing the loan comprises 24 urban logistics assets (100% last mile) across five submarkets in the UK and comprising 17 warehouses (67% of the portfolio's market value (MV)) and seven IOS assets (33% MV). Of the portfolio aggregate value, 39% is in the South East, 27% is in the North West, 23% is in Yorkshire, 9% is in the Midlands, and 3% is in Scotland. Valuations prepared for the properties by JLL Valuation & Advisory Services, LLC (JLL or the Valuer) in October 2024 concluded an aggregate MV of the collateral at GBP 249.0 million, or GBP 261.5 million when including the portfolio premium of 5%. The loan-to-value (LTV) ratio based on those values equals 65.9% and 62.8%, respectively. As at the Cut-Off Date (July 31, 2024), the 24 assets are 92.2% occupied across 4.6 million sf. The Mileway portfolio generated GBP 13.4 million of gross rental income (GRI) and GBP 13.0 million of net operating income (NOI). When the total in-place GRI is compared with the estimated rental value (ERV) as per the JLL valuation reports, the property portfolio is 18.3% under-rented by occupied area. The borrowers indicated a budget of GBP 13.0 million of refurbishment capital expenditure (capex), which includes capex for identified environmental, social, and governance (ESG) measures to meet 15% carbon emission reduction targets and achieve at least an EPC B rating for all assets, such as LED lighting upgrades, installation of solar photovoltaic (PV) systems, modernization of building insulation, and roofing. The majority of the units within the portfolio (circa 60%) fall within the C to E rating category. The portfolio has a weighted-average lease term to break (WALTb) and to expiry (WALTe) of 4.9 years and 7.8 years, respectively. The portfolio tenant base includes 32 unique tenants, with the top 10 tenants accounting for 67.3% of the rental income. Morningstar DBRS' long-term sustainable net cash flow (NCF) assumption for the Mileway portfolio is GBP 12.3 million per annum (p.a.), which represents a haircut of 4.8% to the in-place portfolio's NOI at cut-off. Based on Morningstar DBRS' long-term sustainable capitalization rate (cap rate) assumption of 7.0%, the resulting Morningstar DBRS value is GBP 176.4 million, which reflects a haircut of 29.2% to the portfolio aggregate MV. There are no loan financial covenants applicable prior to a permitted change of control (PCOC), but cash trap covenants are applicable both prior to and post-PCOC. More precisely, the cash trap levels are set as follows: the LTV ratio is greater than 77.8% and the debt yield (DY) is less than 6.7%. After a PCOC, the financial default covenants on the LTV and the DY will be applicable; they are set, respectively, at the LTV ratio being greater than the PCOC LTV +15%, and the higher of (1) 85% of PCOC DY and (2) 85% of Day 1 DY. The Mileway loan is interest-only prior to a PCOC and carries a floating rate, which is referenced to the Sterling Overnight Index Average (Sonia) (floored at 0%) plus a margin that is a function of the weighted average (WA) of the aggregate interest amounts payable on the Mileway loan's notional share of the notes. On the closing date the loan margin was set at 2.09% p.a. However, this margin is subject to a margin threshold which is set at 2.96% p.a. or 3.96% p.a. during a servicer extension period. Morningstar DBRS understands that the borrowers will purchase an interest cap agreement to hedge against increases in the interest payable under the loan within 30 business days following the loan's utilization date. The cap agreement will cover 100% of the outstanding loan balance with a strike rate of 3.5% for the initial term of two years. The borrowers are then required to purchase either a Sonia cap or a swap agreement until the final repayment date. The subsequent hedging transaction should cover 100% of the outstanding loan balance with a cap rate of the higher of: (1) 3.5%, and (2) the rate that ensures that, as at the date on which the relevant hedging transaction is contracted, the projected hedged interest coverage ratio (ICR) is not less than 1.25 times (x). Should the hedging agreement take the form of interest rate swaps, if the market prevailing swap (fixed leg) rate at that time is lower than the higher of each of (1) and (2) above, as applicable, such market prevailing swap (fixed leg) rate on the date on which the relevant hedging transaction is contracted shall constitute the hedging rate. Failure to comply with the required hedging conditions outlined above will constitute a loan event of default (EOD). The Mileway loan has a term of five years, with a loan maturity date on February 15, 2030. There are no extension options. INDURENT The Indurent loan was advanced by the Loan Sellers to five borrowers (the Indurent Borrowers) ultimately owned by Blackstone for the purpose of refinancing existing indebtedness of the Indurent Borrowers (and other members of the borrower group), refinancing the acquisition of the Indurent property portfolio, for general corporate purposes, and financing or refinancing the financing costs. Each Borrower is a private limited liability company incorporated under the laws of either Jersey or England and Wales. The loan is backed by 39 urban logistics assets in six submarkets in the UK, with 52% by aggregate MV in the South East (including London and Milton Keynes), 19% in the North West (including Manchester and Warrington), 10% in the South West and Wales, 8% in the Midlands, 6% in Yorkshire, and 6% in Scotland. The Indurent portfolio comprises multi-let estates (59% by MV) and mid-box warehouses (41%). Valuations prepared for the properties by JLL in October 2024 concluded an aggregate MV of the collateral at GBP 353.3 million, or GBP 371.0 million when including the portfolio premium of 5%. The LTV ratio based on those values equals to 63.8% and 60.7%, respectively. At the cut-off date, the portfolio generated GBP 17.2 million in-place GRI and GBP 15.8 million NOI. When the total in-place GRI is compared with the ERV as per the JLL valuation, the property portfolio is 22.1% under-rented by occupied area. The portfolio offers a total of 2.5 million sf and is currently 82.7% occupied by 207 tenants. The vacancy is concentrated in five assets, which were developed or refurbished in late 2023/2024 and are currently being marketed. The Indurent portfolio benefits from a diversified income stream, with the largest tenant accounting for 4.9% of portfolio GRI, while the largest 10 tenants represent 29.5% of portfolio GRI. The WALTb and WALTe of the portfolio are 4.3 years and 5.5 years, respectively. The borrowers indicated a budget of GBP 18.0 million of refurbishment capex, which includes capex for identified ESG measures to meet 15% carbon emission reduction targets and achieve at least an EPC B rating for all assets such as window upgrades, LED lighting upgrades, installation of solar PVs, modernization of building insulation, and roofing. The majority of the units within the portfolio (circa 80%) fall within the C to E rating category. Morningstar DBRS' NCF assumption for the property portfolio is GBP 16.3 million p.a., which is 3.3% higher than the in-place portfolio's NOI at cut-off. Based on Morningstar DBRS' long-term sustainable cap rate assumption of 6.5%, the resulting Morningstar DBRS value is GBP 250.5 million, which reflects a haircut of 29.1% to the portfolio aggregate MV. There are no loan financial covenants applicable prior to a PCOC, but cash trap covenants are applicable both prior to and post-PCOC. More precisely, the cash trap levels are set as follows: the LTV ratio is greater than 75.7% and the DY is less than 6.0%. After a PCOC, the financial default covenants on the LTV and the DY will be applicable; they are set, respectively, at the LTV ratio being greater than the PCOC LTV +15%, and at the higher of (1) 85% of PCOC DY and (2) 85% of Day 1 DY. The Indurent loan is interest-only prior to a PCOC and carries a floating rate, which is referenced to Sonia (floored at 0%) plus a margin that is a function of the WA of the aggregate interest amounts payable on the Indurent loan's share of the notes. On the closing date the loan margin was set at 2.09% p.a. However, this margin is subject to a margin threshold which is set at 2.96% p.a. or 3.96% p.a. during a servicer extension period. Morningstar DBRS understands that the borrowers will purchase an interest cap agreement to hedge against increases in the interest payable under the loan within 30 business days following the loan's utilization date. The cap agreement will cover 100% of the outstanding loan balance with a strike rate of 2.5% for the initial term of two years. The borrowers are then required to purchase either a Sonia cap or a swap agreement until the final repayment date. The subsequent hedging transaction should cover 100% of the outstanding loan balance with a cap/swap rate of the higher of: (1) 2.5%, and (2) the rate that ensures that, as at the date on which the relevant hedging transaction is contracted, the projected hedged ICR is not less than 1.25x. Should the hedging agreement take the form of interest rate swaps, if the market prevailing swap (fixed leg) rate at that time is lower than the higher of each of (1) and (2) above, as applicable, such market prevailing swap (fixed leg) rate on the date on which the relevant hedging transaction is contracted shall constitute the hedging rate. Failure to comply with the required hedging conditions outlined above will constitute an EOD. The Indurent loan has a term of five years, with a loan maturity date on 15 February 2030. There are no extension options. The Borrowers under the relevant loan can dispose of any asset securing the loans by repaying a release price of 100% of the allocated loan amount (ALA) of that property up to the first-release price threshold, which equals 10% of the initial portfolio valuation. Once the first-release price threshold is met, the release price will be 105% of the ALA up to the second-release price threshold, which equals 20% of the initial portfolio valuation. The release price will be 110% of the ALA thereafter. On or after the occurrence of a PCOC, the release price applicable on the disposal of a property will be 115% of the ALA of that property. The transaction benefits from a liquidity facility of GBP 19.0 million, which equals 7.1% of the total outstanding balance of the covered notes and was provided by Bank of America, N.A., London Branch. The liquidity facility can be used to cover interest shortfalls on the Class A, Class B, and Class C notes. Morningstar DBRS estimates that the liquidity facility will cover approximately 17 months of interest payments on the covered notes, based on the hedging conditions for the two loans described above or approximately 12 months of coverage based on the 5.0% Sonia cap after the expected note maturity date in 2030. The liquidity facility will be reduced based on note amortization, if any. The Class E notes are subject to an available funds cap where the shortfall is attributable to an increase on the WA margin payable on the notes (however arising) or to a final recovery determination of the loan. The legal final maturity of the notes is on 17 February 2035, five years after the loans' maturity dates. Morningstar DBRS believes that this provides sufficient time to enforce the loan collateral and repay the bondholders, given the security structure and jurisdiction of the underlying loans. To satisfy the applicable risk retention requirements, Morgan Stanley Principal Funding, Inc. advanced an Issuer Loan to the Issuer in an amount of GBP 19.5 million, representing 5% of the total securitized balance. Notes: All figures are in British pound sterling unless otherwise noted. VIRIDIS DAC: DBRS Keeps Class D Notes 'BB' Rating Under Review- Neg ------------------------------------------------------------------- DBRS Ratings Limited maintained the Under Review with Negative Implications (UR-Neg.) status on the following classes of notes issued by Viridis (European Loan Conduit No. 38) DAC (the Issuer): -- Class A at AA (sf) -- Class B at A (low) (sf) -- Class C at BBB (sf) -- Class D at BB (sf) -- Class E at B (high) (sf) The maintenance of the UR-Neg. status on the notes reflects the uncertainty around the refinancing of the transaction before the extended maturity date in January 2025. CREDIT RATING RATIONALE The transaction was originally backed by a GBP 192 million senior loan, which was split into two facilities: Facility A (which is the securitized loan), which totaled GBP 150 million, and Facility B (a syndicated loan, not forming part of the transaction), which totaled GBP 42 million. The senior loan is secured by Aldgate Tower (a modern Grade A office tower) on the outskirts of the City of London. In April 2021, Savills valued the Aldgate Tower building at GBP 330 million, representing a 58.2% day-one loan-to-value ratio (LTV). The interest-only loan initially had a three-year term to July 20, 2024 and was structured with no extension options. However, per a RIS notice dated July 18, 2024, the servicer had been in discussions with Aldgate Tower S.A.R.L. (the borrower) regarding its exit strategy and consented to the borrower's request to extend the loan maturity to January 20, 2025 from July 20, 2024. According to the notice, as a condition precedent to the amendments, the loan facility agent had received from the borrower signed term sheet(s) from lender(s) in respect of the refinancing of the property on a 50% LTV basis, and China Life Insurance (Group) Company (China Life), majority owner of the joint venture controlling the borrower together with Brookfield Property Partners L.P., had agreed to provide the funds in connection with the refinancing of the loans. Morningstar DBRS understands from a separate RIS notice dated September 13, 2024 that China Life received all necessary internal approvals to participate in the refinancing equity injection. As part of the amendment dated July 18, 2024, the borrower also agreed to ensure that an amount of not less than GBP 10.0 million was standing to the credit of the cash trap account as of July 20, 2024 and ensure that the hedging agreements, which were required to be in the form of an interest rate cap with a maximum strike rate of 1.00%, would be in place for a term ending no earlier than the extended maturity date. According to the July 2024 servicer report, GBP 8.9 million was trapped over the quarter ended July 2024 to bring the total balance of the cash trap account up to GBP 10.0 million, and the borrower procured an interest rate cap with a strike rate of 1.00% and expiring on January 22, 2025. The GBP 10.0 million standing to the credit of the cash trap account was applied to pay down the loan to GBP 182.1 million from GBP 192.0 million over the quarter ended October 2024 because of China Life not having received the necessary internal approvals as of August 31, 2024. However, as mentioned above, these approvals have since been received. The borrower had also provided certain undertakings, including that a refinancing loan agreement would be signed by no later than October 20, 2024 as part of the amendment dated July 18, 2024. The loan security agent confirmed in a RIS notice dated October 18, 2024 that the borrower signed the refinancing loan agreement prior to the deadline of October 20, 2024. However, since refinancing efforts are not yet finalized, Morningstar DBRS maintains the UR-Neg. status on the notes. The asset was most recently valued by Knight Frank LLP, which concluded to a value of GBP 260.0 million as of July 2023, showing a 13.3% decline over the previous GBP 300.0 million valuation dated August 2022 by Savills. LTV and debt yield (DY) stood at 70.0% and 7.7% as of October 2024, respectively. According to the October 2024 servicer report, the loan is in cash trap with respect to both LTV and DY metrics. The loan is structured with increasingly stringent DY cash trap covenants requiring the sponsors to improve asset performance in order to remain compliant with the loan terms. The DY covenants are tested quarterly on each interest payment date in Years 2 and 3 at 7% and 8%, respectively. The DY covenant will remain at 8% for the remaining life of the loan. Additionally, the structure includes a senior LTV cash trap covenant set at 70% LTV for the full life of the loan. There are no DY or LTV financial covenants applicable either prior to a permitted transfer or following a permitted transfer. Morningstar DBRS' assumptions remained unchanged since its previous annual review, with Morningstar DBRS' stabilized net cash flow at GBP 11.1 million and Morningstar DBRS' capitalization rate at 5.5%. This results in a Morningstar DBRS value of GBP 201.1 million, which represents a 22.6% haircut to the latest valuation as of July 2023. The senior loan carries a floating rate of the Sterling Overnight Index Average (Sonia; floored at 0%) plus a 2.85% margin for a three-year term. The interest rate risk is fully hedged with a prepaid cap, with a maximum strike rate of 1.0% provided by Standard Chartered Bank and a term expiring on 22 January 2025. The transaction also benefits from an issuer liquidity reserve in an aggregate amount of GBP 5,789,448. The Issuer's liquidity reserve can be used to cover interest shortfalls on the Class A, B, C, and D notes. According to Morningstar DBRS' analysis, the Issuer's liquidity reserve amount, as at closing, provided interest payment on the covered notes up to 18.7 months or 9.2 months based on the interest rate cap strike rate of 1% or on the Sonia cap of 4%, respectively. The final legal maturity of the notes is expected to be 22 July 2029, 4.5 years after the extended loan maturity (20 January 2025). Notes: All figures are in British pound sterling unless otherwise noted. WARWICK FINANCE: DBRS Confirms BB(high) Rating on Class E Notes --------------------------------------------------------------- DBRS Ratings Limited confirmed the credit ratings on the bonds issued by Warwick Finance Residential Mortgages Number Four Plc (the Issuer) as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BB (high) (sf) The credit rating on the Class A notes addresses the timely payment of interest and the ultimate payment of principal on or before the legal final maturity date. The credit rating on the Class B notes addresses the ultimate payment of interest and principal while junior, and the timely payment of interest while the senior-most class outstanding on or before the legal final maturity date. The credit ratings on the Class C, Class D, and Class E notes address the ultimate payment of interest and principal on or before the legal final maturity date. CREDIT RATING RATIONALE The confirmations follow an annual review of the transaction and are based on the following analytical considerations: -- Portfolio performance, in terms of delinquencies, defaults, and losses as of the cut-off date of August 31, 2024 (corresponding to the September 2024 payment date), -- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables, and -- Current available credit enhancement (CE) to the notes to cover the expected losses at their respective credit rating levels. The transaction is a securitization of seasoned owner-occupied and buy-to-let nonconforming portfolios of mortgages originated in the United Kingdom by Platform Funding Limited, Verso Limited, Kensington Mortgage Company Limited, Southern Pacific Mortgages Limited, and GMAC-RFC Limited (now Paratus AMC Limited). The loans were sold to the Issuer at transaction close by The Co-operative Bank plc and are serviced by Western Mortgages Services Limited, part of Capita Financial Services Holdings Limited. The notes pay a floating rate on a quarterly basis and the applicable margins are expected to step up at the December 2024 payment date. The legal final maturity date is at the March 2042 payment date. PORTFOLIO PERFORMANCE As of August 31, 2024, loans two-to-three-months in arrears and loans more than three months in arrears represented 1.8% and 15.7% of the outstanding portfolio balance, respectively, up from 1.7% and 6.0%, respectively. As of 31 August 2024, the cumulative outstanding losses represented 0.2% of the initial portfolio balance. PORTFOLIO ASSUMPTIONS AND KEY DRIVERS Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and has updated its base case PD and LGD assumptions at the B (sf) credit rating level to 17.6% and 4.8%, respectively. CREDIT ENHANCEMENT CE to the notes is provided by the subordination of junior classes and the principal residual certificates. As of the September 2024 payment date, the CE available to the notes increased as follows, compared to 12 months prior: -- CE to the Class A to 31.0% from 26.2%, -- CE to the Class B to 21.6% from 18.2%, -- CE to the Class C to 15.2% from 12.9%, -- CE to the Class D to 12.1% from 10.2%, and -- CE to the Class E to 8.9% from 7.6%. The transaction benefits from a liquidity reserve fund of GBP 2.8 million, available to cover senior fees and interest on the Class A and Class B notes. The liquidity reserve fund is currently at its target level, which corresponds to 1.0% of the initial principal outstanding balance of the Class A and Class B notes. As of the September 2024 payment date, there was a cumulative deferred interest on the Class C, Class D and Class E notes of GBP 44,339, GBP 93,699, and GBP 105,822, respectively. Morningstar DBRS considered the accrued and unpaid interest in its analysis. Citibank N.A./London Branch (Citibank London) acts as the account bank for the transaction. Based on Morningstar DBRS' private credit rating on Citibank London, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit rating assigned to the Class A notes, as described in Morningstar DBRS' "Legal and Derivative Criteria for European Structured Finance Transactions" methodology. Notes: All figures are in British pound sterling unless otherwise noted. WMPROP GROUP: FRP Advisory Named as Joint Administrators -------------------------------------------------------- Wmprop Group No 1 Limited was placed into administration proceedings in the High Court of Justice, Court Number: CR-2024-007270, and David Hudson and Ian James Corfield of FRP Advisory Trading Limited, were appointed as joint administrators on Nov. 29, 2024. Wmprop Group specializes in the letting and operating of own or leased real estate. Its registered office is at 24 Market Place, Cirencester, England GL7 2NR in the process of being changed to c/o FRP Advisory Trading Limited, 2nd Floor, 110 Cannon Street, London, EC4N 6EU. Its principal trading address is at 24 Market Place, Cirencester, England GL7 2NR. The joint administrators can be reached at: Ian James Corfield David Hudson FRP Advisory Trading Limited 110 Cannon Street, London EC4N 6EU Further Details Contact: The Joint Administrators Tel: 020 3005 4000 Alternative contact: Chloe Norris Chloe.Norris@frpadvisory.com =============== X X X X X X X X =============== [*] BOND PRICING: For the Week December 23 to December 27, 2024 --------------------------------------------------------------- Issuer Coupon Maturity Currency Price ------ ------ -------- -------- ----- Altice France Holdin 10.500 5/15/2027 USD 28.878 IOG Plc 12.183 9/22/2025 EUR 0.461 Ferralum Metals Grou 10.000 12/30/2026 EUR 29.350 Cabonline Group Hold 12.487 4/19/2026 SEK 40.684 Turkiye Government B 10.400 10/13/2032 TRY NCO Invest SA 10.000 12/30/2026 EUR 0.152 Fastator AB 12.500 9/25/2026 SEK 40.000 Fastator AB 12.500 9/26/2025 SEK 39.917 NCO Invest SA 10.000 12/30/2026 EUR 0.152 Saderea DAC 12.500 11/30/2026 USD 48.697 Tinkoff Bank JSC Via 11.002 USD 42.875 Marginalen Bank Bank 12.039 SEK 25.000 Bilt Paper BV 10.360 USD 1.140 Altice France Holdin 10.500 5/15/2027 USD 29.002 Kvalitena AB publ 10.067 4/2/2024 SEK 45.750 R-Logitech Finance S 10.250 9/26/2027 EUR 3.838 Transcapitalbank JSC 10.000 USD 1.450 Avangardco Investmen 10.000 10/29/2018 USD 0.186 Oscar Properties Hol 11.270 7/5/2024 SEK 0.077 Elli Investments Ltd 12.250 6/15/2020 GBP 0.495 UkrLandFarming PLC 10.875 3/26/2018 USD 1.618 Privatbank CJSC Via 10.250 1/23/2018 USD 3.672 Privatbank CJSC Via 11.000 2/9/2021 USD 0.502 Plusplus Capital Fin 11.000 7/29/2026 EUR 9.296 Societe Generale SA 15.000 9/29/2025 USD 13.000 Fastator AB 12.500 9/24/2027 SEK 40.020 Bulgaria Steel Finan 12.000 5/4/2013 EUR 0.216 Sidetur Finance BV 10.000 4/20/2016 USD 0.784 SG Issuer SA 11.800 3/13/2025 EUR 48.380 Barclays Bank PLC 14.250 12/18/2025 USD 36.912 Privatbank CJSC Via 10.875 2/28/2018 USD 4.576 NTRP Via Interpipe L 10.250 8/2/2017 USD 1.002 Societe Generale SA 23.110 2/17/2025 USD 45.550 UBS AG/London 25.000 10/20/2026 USD 10.910 Elli Investments Ltd 12.250 6/15/2020 GBP 0.495 BLT Finance BV 12.000 2/10/2015 USD 10.500 Raiffeisen Schweiz G 16.000 7/8/2025 CHF 50.540 JP Morgan Structured 20.000 12/31/2024 EUR 1.004 JP Morgan Structured 20.000 12/31/2024 EUR 1.004 Societe Generale SA 17.800 2/12/2026 USD 45.466 Societe Generale SA 18.320 2/26/2026 USD 40.800 Swissquote Bank Euro 18.530 3/5/2025 CHF 31.740 UniCredit Bank GmbH 12.250 2/28/2025 EUR 41.510 UBS AG/London 10.000 3/23/2026 USD 37.060 UBS AG/London 15.000 4/7/2025 USD 48.400 Landesbank Baden-Wue 16.000 1/2/2026 EUR 20.170 UBS AG/London 17.500 2/7/2025 USD 46.550 Bank Vontobel AG 13.500 1/8/2025 CHF 4.600 Societe Generale SA 16.000 3/18/2027 USD 49.060 Barclays Bank PLC 21.500 12/26/2025 USD 22.470 Societe Generale SA 20.000 7/21/2026 USD 4.500 Societe Generale SA 11.000 7/14/2026 USD 18.620 Societe Generale SA 23.510 6/23/2026 USD 6.625 Societe Generale SA 21.000 12/26/2025 USD 21.157 Ukraine Government B 11.000 4/20/2037 UAH 37.474 Lehman Brothers Trea 13.500 6/2/2009 USD 0.100 Ukraine Government B 11.000 4/24/2037 UAH 40.211 Tonon Luxembourg SA 12.500 5/14/2024 USD 2.216 Banco Espirito Santo 10.000 12/6/2021 EUR 0.058 Bilt Paper BV 10.360 USD 1.140 Phosphorus Holdco PL 10.000 4/1/2019 GBP 0.144 Lehman Brothers Trea 10.442 11/22/2008 CHF 0.100 KPNQwest NV 10.000 3/15/2012 EUR 1.028 Swissquote Bank Euro 17.590 4/22/2025 USD 40.650 Swissquote Bank SA 20.060 5/22/2025 CHF 42.570 DZ Bank AG Deutsche 10.100 6/27/2025 EUR 49.770 DZ Bank AG Deutsche 16.000 6/27/2025 EUR 43.550 BNP Paribas Emission 15.000 9/25/2025 EUR 43.930 DZ Bank AG Deutsche 18.500 3/28/2025 EUR 19.570 DZ Bank AG Deutsche 20.400 3/28/2025 EUR 18.060 Leonteq Securities A 17.200 9/24/2025 CHF 46.490 DZ Bank AG Deutsche 17.600 6/27/2025 EUR 20.420 Swissquote Bank Euro 19.340 8/5/2025 USD 45.600 Leonteq Securities A 14.000 10/15/2025 CHF 35.380 Vontobel Financial P 29.200 1/17/2025 EUR 20.048 Swissquote Bank SA 24.070 5/6/2025 CHF 35.840 Bank Vontobel AG 25.000 4/29/2025 CHF 51.700 Basler Kantonalbank 16.000 10/15/2025 CHF 49.850 Raiffeisen Schweiz G 18.000 7/15/2025 CHF 47.780 Leonteq Securities A 16.400 10/15/2025 CHF 49.650 Swissquote Bank SA 12.720 1/15/2025 CHF 49.880 Bank Julius Baer & C 18.500 7/2/2025 CHF 46.300 Vontobel Financial P 23.250 6/27/2025 EUR 45.140 Bank Vontobel AG 15.000 10/14/2025 USD 46.400 Bank Julius Baer & C 14.000 6/4/2025 CHF 36.250 Basler Kantonalbank 14.200 9/17/2025 CHF 37.350 Vontobel Financial P 18.500 6/27/2025 EUR 48.180 Swissquote Bank SA 14.960 7/1/2025 CHF 41.260 JP Morgan Structured 10.000 12/31/2024 EUR 1.002 JP Morgan Structured 20.000 12/31/2024 EUR 1.003 Zurcher Kantonalbank 14.000 6/17/2025 USD 33.120 Corner Banca SA 18.800 6/26/2025 CHF 44.970 Bank Vontobel AG 14.500 4/4/2025 CHF 26.400 Bank Vontobel AG 12.000 4/11/2025 CHF 25.900 Bank Vontobel AG 11.000 4/11/2025 CHF 22.600 DZ Bank AG Deutsche 11.050 5/23/2025 EUR 47.510 DZ Bank AG Deutsche 23.400 12/31/2024 EUR 29.080 Leonteq Securities A 12.000 8/5/2025 CHF 35.800 Leonteq Securities A 20.800 2/5/2025 CHF 32.800 Vontobel Financial P 14.750 3/28/2025 EUR 47.350 DZ Bank AG Deutsche 13.200 3/28/2025 EUR 32.910 DZ Bank AG Deutsche 18.300 3/28/2025 EUR 18.080 DZ Bank AG Deutsche 15.000 3/28/2025 EUR 19.410 DZ Bank AG Deutsche 18.900 3/28/2025 EUR 38.760 DZ Bank AG Deutsche 21.200 3/28/2025 EUR 35.380 DZ Bank AG Deutsche 23.600 3/28/2025 EUR 32.810 DZ Bank AG Deutsche 12.500 12/31/2024 EUR 44.750 DZ Bank AG Deutsche 10.500 3/28/2025 EUR 47.650 Zurcher Kantonalbank 11.350 2/21/2025 CHF 48.510 Societe Generale SA 23.500 3/3/2025 USD 47.250 UBS AG/London 14.000 7/31/2025 USD 47.450 DZ Bank AG Deutsche 14.300 12/31/2024 EUR 30.230 Landesbank Baden-Wue 11.500 4/24/2026 EUR 19.690 Landesbank Baden-Wue 13.000 4/24/2026 EUR 21.180 Landesbank Baden-Wue 10.500 4/24/2026 EUR 18.900 Vontobel Financial P 26.450 1/24/2025 EUR 8.762 Bank Vontobel AG 26.000 3/5/2025 CHF 33.200 Bank Vontobel AG 14.000 3/5/2025 CHF 10.700 Swissquote Bank Euro 25.320 2/26/2025 CHF 22.160 Bank Julius Baer & C 18.690 3/7/2025 CHF 28.650 Vontobel Financial P 16.000 3/28/2025 EUR 13.290 Bank Vontobel AG 12.000 3/5/2025 CHF 26.300 Leonteq Securities A 18.000 5/27/2025 CHF 37.690 Raiffeisen Schweiz G 16.000 2/19/2025 CHF 31.930 Leonteq Securities A 15.400 7/1/2025 CHF 47.000 Corner Banca SA 13.000 4/2/2025 CHF 46.820 Leonteq Securities A 21.000 1/3/2025 CHF 15.870 Leonteq Securities A 25.000 1/3/2025 CHF 25.750 Leonteq Securities A 12.000 1/2/2025 EUR 42.340 UniCredit Bank GmbH 10.700 2/17/2025 EUR 10.910 UBS AG/London 10.500 5/2/2025 CHF 49.700 UBS AG/London 11.750 5/2/2025 CHF 50.100 Raiffeisen Switzerla 10.500 4/2/2025 EUR 45.220 Leonteq Securities A 20.000 1/3/2025 CHF 45.970 Landesbank Baden-Wue 11.000 3/28/2025 EUR 12.230 Landesbank Baden-Wue 15.000 3/28/2025 EUR 10.260 UniCredit Bank GmbH 10.700 2/3/2025 EUR 10.610 UBS AG/London 11.750 4/29/2025 EUR 47.950 Landesbank Baden-Wue 13.000 3/28/2025 EUR 10.700 DZ Bank AG Deutsche 19.500 12/31/2024 EUR 48.800 Inecobank CJSC 10.000 4/28/2025 AMD 0.000 Leonteq Securities A 20.000 3/21/2025 CHF 32.850 Vontobel Financial P 11.000 12/31/2024 EUR 38.430 Bank Vontobel AG 13.500 6/3/2025 USD 51.500 DZ Bank AG Deutsche 11.500 12/31/2024 EUR 10.070 DZ Bank AG Deutsche 23.100 12/31/2024 EUR 36.570 DZ Bank AG Deutsche 14.600 12/31/2024 EUR 45.550 DZ Bank AG Deutsche 19.100 12/31/2024 EUR 29.590 Landesbank Baden-Wue 19.000 1/3/2025 EUR 10.590 Landesbank Baden-Wue 25.000 1/3/2025 EUR 8.620 Landesbank Baden-Wue 14.000 6/27/2025 EUR 13.250 Bank Vontobel AG 10.250 5/6/2025 EUR 49.800 DZ Bank AG Deutsche 16.800 12/31/2024 EUR 40.060 DZ Bank AG Deutsche 21.300 12/31/2024 EUR 26.630 Landesbank Baden-Wue 16.000 1/3/2025 EUR 11.900 Landesbank Baden-Wue 22.000 1/3/2025 EUR 9.370 Landesbank Baden-Wue 19.000 6/27/2025 EUR 14.150 Corner Banca SA 11.000 7/14/2025 EUR 47.190 UniCredit Bank GmbH 15.200 12/31/2024 EUR 47.880 Vontobel Financial P 10.000 12/31/2024 EUR 44.410 Vontobel Financial P 18.000 12/31/2024 EUR 42.830 Bank Vontobel AG 16.000 2/10/2025 CHF 27.700 Bank Vontobel AG 14.000 6/23/2025 CHF 42.200 Landesbank Baden-Wue 10.500 1/2/2026 EUR 14.210 Vontobel Financial P 11.000 12/31/2024 EUR 47.990 Vontobel Financial P 16.750 12/31/2024 EUR 40.900 Vontobel Financial P 13.000 12/31/2024 EUR 45.360 Vontobel Financial P 14.750 12/31/2024 EUR 43.010 DZ Bank AG Deutsche 17.100 12/31/2024 EUR 33.290 Vontobel Financial P 20.000 12/31/2024 EUR 49.320 Raiffeisen Switzerla 16.000 3/4/2025 CHF 10.890 Leonteq Securities A 22.600 6/24/2025 CHF 44.930 Vontobel Financial P 11.750 3/28/2025 EUR 49.670 Bank Vontobel AG 11.000 4/29/2025 CHF 32.500 Bank Vontobel AG 24.000 4/14/2025 CHF 43.900 Leonteq Securities A 24.000 4/23/2025 CHF 46.290 Corner Banca SA 18.400 7/22/2025 CHF 37.400 Raiffeisen Schweiz G 14.500 1/29/2025 CHF 31.980 UniCredit Bank GmbH 13.300 12/31/2024 EUR 41.650 UniCredit Bank GmbH 15.200 12/31/2024 EUR 39.900 Zurcher Kantonalbank 23.000 3/5/2025 CHF 32.800 Swissquote Bank Euro 20.280 3/11/2025 USD 50.040 Leonteq Securities A 20.000 3/11/2025 CHF 9.890 Raiffeisen Switzerla 16.500 3/11/2025 CHF 10.430 Landesbank Baden-Wue 11.000 2/27/2026 EUR 17.280 Raiffeisen Schweiz G 16.000 7/4/2025 CHF 35.040 Leonteq Securities A 16.000 3/4/2025 CHF 32.120 Raiffeisen Switzerla 11.000 1/3/2025 CHF 47.730 Landesbank Baden-Wue 12.000 2/27/2026 EUR 18.030 Bank Vontobel AG 16.000 6/24/2025 USD 45.000 Landesbank Baden-Wue 13.000 6/27/2025 EUR 15.350 Landesbank Baden-Wue 16.000 6/27/2025 EUR 15.230 Landesbank Baden-Wue 11.000 1/2/2026 EUR 17.050 Landesbank Baden-Wue 15.000 1/3/2025 EUR 16.420 Bank Vontobel AG 14.000 7/16/2025 CHF 50.800 DZ Bank AG Deutsche 22.800 3/28/2025 EUR 52.590 Swissquote Bank Euro 20.300 1/29/2025 USD 46.190 Bank Julius Baer & C 19.400 1/30/2025 CHF 27.550 Landesbank Baden-Wue 10.500 4/28/2025 EUR 15.840 Landesbank Baden-Wue 16.500 4/28/2025 EUR 14.870 Landesbank Baden-Wue 19.000 4/28/2025 EUR 14.840 Raiffeisen Schweiz G 15.000 3/18/2025 CHF 32.590 Swissquote Bank Euro 19.380 3/18/2025 USD 49.170 Raiffeisen Schweiz G 13.000 3/25/2025 CHF 28.770 Bank Vontobel AG 15.000 4/29/2025 CHF 29.700 Vontobel Financial P 20.250 12/31/2024 EUR 8.650 Bank Julius Baer & C 17.100 3/19/2025 CHF 31.400 Bank Vontobel AG 18.000 12/31/2024 USD 43.200 HSBC Trinkaus & Burk 14.500 12/30/2024 EUR 16.520 Raiffeisen Switzerla 13.000 3/11/2025 CHF 29.830 Vontobel Financial P 11.000 12/31/2024 EUR 42.860 Vontobel Financial P 14.000 12/31/2024 EUR 39.350 Vontobel Financial P 12.000 12/31/2024 EUR 45.590 Vontobel Financial P 16.500 12/31/2024 EUR 37.190 Vontobel Financial P 18.500 12/31/2024 EUR 35.610 Vontobel Financial P 14.750 12/31/2024 EUR 38.930 Vontobel Financial P 20.250 12/31/2024 EUR 34.170 Vontobel Financial P 13.000 12/31/2024 EUR 40.840 Vontobel Financial P 11.250 12/31/2024 EUR 42.950 Landesbank Baden-Wue 18.000 1/3/2025 EUR 9.720 Landesbank Baden-Wue 12.000 1/3/2025 EUR 13.650 Landesbank Baden-Wue 15.000 1/3/2025 EUR 11.110 BNP Paribas Emission 13.000 12/30/2024 EUR 37.780 Vontobel Financial P 12.500 12/31/2024 EUR 45.350 Vontobel Financial P 10.750 12/31/2024 EUR 47.980 Bank Vontobel AG 12.000 3/19/2026 CHF 39.700 Swissquote Bank Euro 16.030 1/16/2025 USD 46.680 Leonteq Securities A 24.000 1/16/2025 CHF 22.240 Vontobel Financial P 12.500 12/31/2024 EUR 41.030 Leonteq Securities A 21.000 1/9/2025 CHF 48.530 Leonteq Securities A 24.000 1/9/2025 CHF 12.420 Leonteq Securities A 23.000 1/9/2025 CHF 29.370 Leonteq Securities A 11.000 1/9/2025 CHF 36.990 Leonteq Securities A 11.000 1/9/2025 EUR 44.720 Bank Vontobel AG 22.000 3/14/2025 CHF 51.300 Leonteq Securities A 24.000 1/13/2025 CHF 4.330 Vontobel Financial P 14.250 12/31/2024 EUR 43.000 UBS AG/London 21.600 8/2/2027 SEK 16.390 Bank Julius Baer & C 10.160 12/30/2024 CHF 49.750 Landesbank Baden-Wue 15.500 1/24/2025 EUR 8.790 UBS AG/London 10.250 3/10/2025 EUR 35.000 Landesbank Baden-Wue 12.000 1/24/2025 EUR 11.700 Corner Banca SA 10.000 2/25/2025 CHF 40.860 Leonteq Securities A 10.000 2/25/2025 CHF 40.440 HSBC Trinkaus & Burk 15.200 12/30/2024 EUR 16.380 HSBC Trinkaus & Burk 13.100 12/30/2024 EUR 18.020 Leonteq Securities A 11.000 1/3/2025 EUR 39.850 HSBC Trinkaus & Burk 19.600 12/30/2024 EUR 10.880 HSBC Trinkaus & Burk 17.400 12/30/2024 EUR 12.270 Landesbank Baden-Wue 16.000 6/27/2025 EUR 13.370 DZ Bank AG Deutsche 20.900 12/31/2024 EUR 33.400 Landesbank Baden-Wue 21.000 6/27/2025 EUR 14.580 Landesbank Baden-Wue 14.000 1/24/2025 EUR 11.880 Finca Uco Cjsc 12.000 2/10/2025 AMD 0.000 Erste Group Bank AG 10.750 3/31/2026 EUR 35.500 Basler Kantonalbank 10.000 2/3/2025 EUR 39.520 Bank Vontobel AG 14.250 5/30/2025 USD 33.200 Leonteq Securities A 12.000 1/13/2025 EUR 50.670 Finca Uco Cjsc 13.000 5/30/2025 AMD 8.683 Leonteq Securities A 10.000 1/13/2025 CHF 50.230 Erste Group Bank AG 14.500 5/31/2026 EUR 41.200 HSBC Trinkaus & Burk 11.300 6/27/2025 EUR 23.600 HSBC Trinkaus & Burk 15.900 3/28/2025 EUR 18.670 HSBC Trinkaus & Burk 11.100 12/30/2024 EUR 18.970 HSBC Trinkaus & Burk 13.300 6/27/2025 EUR 22.380 HSBC Trinkaus & Burk 16.100 12/30/2024 EUR 15.340 HSBC Trinkaus & Burk 15.000 3/28/2025 EUR 19.130 Leonteq Securities A 12.200 1/15/2025 EUR 38.790 Leonteq Securities A 16.000 1/15/2025 EUR 47.140 Leonteq Securities A 20.000 1/22/2025 CHF 10.640 Leonteq Securities A 12.000 5/13/2025 EUR 50.570 UniCredit Bank GmbH 16.550 8/18/2025 USD 17.730 BNP Paribas Emission 11.000 12/30/2024 EUR 36.500 Raiffeisen Schweiz G 15.000 1/22/2025 CHF 22.160 Leonteq Securities A 20.000 1/22/2025 CHF 32.540 Armenian Economy Dev 10.500 5/4/2025 AMD 0.000 Bank Julius Baer & C 12.000 5/28/2025 USD 36.500 BNP Paribas Emission 10.000 12/30/2024 EUR 37.940 BNP Paribas Emission 14.000 12/30/2024 EUR 34.560 Landesbank Baden-Wue 10.000 10/24/2025 EUR 14.880 BNP Paribas Emission 12.000 12/30/2024 EUR 47.700 BNP Paribas Emission 14.000 12/30/2024 EUR BNP Paribas Emission 17.000 12/30/2024 EUR 36.570 BNP Paribas Emission 13.000 12/30/2024 EUR 36.530 Landesbank Baden-Wue 14.000 10/24/2025 EUR 16.000 Banque International 10.000 3/19/2025 EUR 40.140 BNP Paribas Emission 13.000 12/30/2024 EUR 44.760 BNP Paribas Emission 17.000 12/30/2024 EUR 37.330 BNP Paribas Emission 16.000 12/30/2024 EUR 38.190 HSBC Trinkaus & Burk 12.750 6/27/2025 EUR 8.880 HSBC Trinkaus & Burk 11.750 6/27/2025 EUR 48.300 HSBC Trinkaus & Burk 15.500 6/27/2025 EUR 47.420 Leonteq Securities A 10.000 1/21/2025 EUR 40.380 UniCredit Bank GmbH 15.800 12/31/2024 EUR 49.540 HSBC Trinkaus & Burk 16.000 3/28/2025 EUR 19.020 HSBC Trinkaus & Burk 16.300 3/28/2025 EUR 7.760 HSBC Trinkaus & Burk 17.500 6/27/2025 EUR 9.400 HSBC Trinkaus & Burk 22.250 6/27/2025 EUR 11.000 HSBC Trinkaus & Burk 10.250 6/27/2025 EUR 47.440 Leonteq Securities A 10.000 1/20/2025 CHF 46.090 UniCredit Bank GmbH 20.000 12/31/2024 EUR 44.260 UBS AG/London 17.400 4/14/2027 SEK 48.740 Ameriabank CJSC 10.000 2/20/2025 AMD 0.000 Landesbank Baden-Wue 14.000 6/27/2025 EUR 13.490 HSBC Trinkaus & Burk 11.600 3/28/2025 EUR 22.250 HSBC Trinkaus & Burk 18.100 12/30/2024 EUR 9.070 HSBC Trinkaus & Burk 15.700 12/30/2024 EUR 10.410 UniCredit Bank GmbH 10.500 4/7/2026 EUR 26.330 UBS AG/London 11.000 1/20/2025 EUR 47.500 Basler Kantonalbank 10.000 1/20/2025 EUR 50.000 Raiffeisen Switzerla 10.250 1/21/2025 EUR 40.460 HSBC Trinkaus & Burk 16.300 12/30/2024 EUR 15.680 HSBC Trinkaus & Burk 11.100 12/30/2024 EUR 20.060 HSBC Trinkaus & Burk 13.400 3/28/2025 EUR 20.710 Landesbank Baden-Wue 10.000 6/27/2025 EUR 14.460 HSBC Trinkaus & Burk 14.100 12/30/2024 EUR 17.160 HSBC Trinkaus & Burk 11.400 12/30/2024 EUR 19.500 HSBC Trinkaus & Burk 11.500 6/27/2025 EUR 24.190 HSBC Trinkaus & Burk 14.400 3/28/2025 EUR 7.920 HSBC Trinkaus & Burk 15.100 3/28/2025 EUR 19.510 HSBC Trinkaus & Burk 11.000 3/28/2025 EUR 22.680 HSBC Trinkaus & Burk 13.400 6/27/2025 EUR 22.600 HSBC Trinkaus & Burk 15.200 12/30/2024 EUR 8.440 Zurcher Kantonalbank 10.000 3/27/2025 EUR 41.240 DZ Bank AG Deutsche 22.500 12/31/2024 EUR 41.790 Raiffeisen Schweiz G 10.000 12/31/2024 CHF 48.940 Goldman Sachs Intern 16.288 3/17/2027 USD 24.400 BNP Paribas Issuance 19.000 9/18/2026 EUR 6.440 HSBC Trinkaus & Burk 10.250 12/30/2024 EUR 27.140 BNP Paribas Issuance 20.000 9/18/2026 EUR 24.180 HSBC Trinkaus & Burk 17.500 12/30/2024 EUR 42.750 Raiffeisen Switzerla 10.300 6/11/2025 CHF 42.900 DZ Bank AG Deutsche 10.300 3/28/2025 EUR 47.160 DZ Bank AG Deutsche 20.700 12/31/2024 EUR 46.370 Leonteq Securities A 18.000 2/20/2025 CHF 46.780 DZ Bank AG Deutsche 14.900 12/31/2024 EUR 46.770 DZ Bank AG Deutsche 17.600 12/31/2024 EUR 43.190 DZ Bank AG Deutsche 14.200 12/31/2024 EUR 8.350 UniCredit Bank GmbH 11.200 12/28/2026 EUR 46.280 ACBA Bank OJSC 11.000 12/1/2025 AMD 0.000 DZ Bank AG Deutsche 18.600 3/28/2025 EUR 44.350 Vontobel Financial P 12.750 12/31/2024 EUR 43.860 HSBC Trinkaus & Burk 13.500 12/30/2024 EUR 40.840 Armenian Economy Dev 11.000 10/3/2025 AMD 0.000 UniCredit Bank GmbH 11.500 2/28/2025 EUR 49.230 Leonteq Securities A 10.340 8/31/2026 EUR 45.630 Landesbank Baden-Wue 10.000 1/3/2025 EUR 38.470 Societe Generale SA 20.000 9/18/2026 USD 5.200 Corner Banca SA 20.000 3/5/2025 USD 43.830 Bank Vontobel AG 10.500 5/12/2025 EUR 36.900 Citigroup Global Mar 25.530 2/18/2025 EUR 0.010 ACBA Bank OJSC 11.500 3/1/2026 AMD 0.000 National Mortgage Co 12.000 3/30/2026 AMD 0.000 Evocabank CJSC 11.000 9/27/2025 AMD 0.000 Zurcher Kantonalbank 10.500 2/4/2025 EUR 46.230 Landesbank Baden-Wue 11.000 1/3/2025 EUR 8.730 Landesbank Baden-Wue 13.000 1/3/2025 EUR 7.800 Landesbank Baden-Wue 11.500 2/28/2025 EUR 14.410 Landesbank Baden-Wue 19.000 2/28/2025 EUR 12.990 Leonteq Securities A 10.000 5/26/2025 CHF 39.940 DZ Bank AG Deutsche 12.100 3/28/2025 EUR 45.070 Landesbank Baden-Wue 15.000 2/28/2025 EUR 13.840 Leonteq Securities A 10.500 5/15/2025 CHF 46.300 Bank Julius Baer & C 12.720 2/17/2025 CHF 16.250 UniCredit Bank GmbH 10.500 12/22/2025 EUR 31.230 Ukraine Government B 11.000 2/16/2037 UAH 37.714 Ukraine Government B 11.000 3/24/2037 UAH 37.564 Ukraine Government B 11.000 4/1/2037 UAH 37.535 Lehman Brothers Trea 11.000 7/4/2011 USD 0.100 Lehman Brothers Trea 12.000 7/4/2011 EUR 0.100 Lehman Brothers Trea 11.250 12/31/2008 USD 0.100 Lehman Brothers Trea 13.000 12/14/2012 USD 0.100 Sidetur Finance BV 10.000 4/20/2016 USD 0.784 Lehman Brothers Trea 10.600 4/22/2014 MXN 0.100 Lehman Brothers Trea 15.000 6/4/2009 CHF 0.100 Lehman Brothers Trea 23.300 9/16/2008 USD 0.100 Lehman Brothers Trea 10.000 10/22/2008 USD 0.100 Lehman Brothers Trea 16.000 10/28/2008 USD 0.100 Lehman Brothers Trea 16.200 5/14/2009 USD 0.100 Lehman Brothers Trea 16.000 11/9/2008 USD 0.100 Deutsche Bank AG/Lon 14.900 5/30/2028 TRY 51.791 Ukraine Government B 11.000 4/8/2037 UAH 37.512 Ukraine Government B 11.000 4/23/2037 UAH 37.465 Deutsche Bank AG/Lon 12.780 3/16/2028 TRY 50.442 Lehman Brothers Trea 11.000 6/29/2009 EUR 0.100 Lehman Brothers Trea 10.000 3/27/2009 USD 0.100 Lehman Brothers Trea 10.500 8/9/2010 EUR 0.100 Lehman Brothers Trea 13.000 7/25/2012 EUR 0.100 Bulgaria Steel Finan 12.000 5/4/2013 EUR 0.216 Lehman Brothers Trea 15.000 3/30/2011 EUR 0.100 Lehman Brothers Trea 13.500 11/28/2008 USD 0.100 Lehman Brothers Trea 14.900 9/15/2008 EUR 0.100 Petromena ASA 10.850 11/19/2018 USD 0.622 Lehman Brothers Trea 18.250 10/2/2008 USD 0.100 Lehman Brothers Trea 14.900 11/16/2010 EUR 0.100 Lehman Brothers Trea 16.000 10/8/2008 CHF 0.100 Tonon Luxembourg SA 12.500 5/14/2024 USD 2.216 UkrLandFarming PLC 10.875 3/26/2018 USD 1.597 Credit Agricole CIB 29.699 12/29/2031 EUR 45.099 Teksid Aluminum Luxe 12.375 7/15/2011 EUR 0.619 Privatbank CJSC Via 10.875 2/28/2018 USD 4.576 Credit Agricole Corp 10.200 12/13/2027 TRY 51.097 Lehman Brothers Trea 10.000 5/22/2009 USD 0.100 Lehman Brothers Trea 10.000 6/17/2009 USD 0.100 Lehman Brothers Trea 16.000 12/26/2008 USD 0.100 Lehman Brothers Trea 13.432 1/8/2009 ILS 0.100 Lehman Brothers Trea 13.150 10/30/2008 USD 0.100 Lehman Brothers Trea 14.100 11/12/2008 USD 0.100 Lehman Brothers Trea 11.000 12/19/2011 USD 0.100 Lehman Brothers Trea 10.000 6/11/2038 JPY 0.100 Lehman Brothers Trea 12.000 7/13/2037 JPY 0.100 Lehman Brothers Trea 11.000 2/16/2009 CHF 0.100 Lehman Brothers Trea 13.000 2/16/2009 CHF 0.100 Lehman Brothers Trea 10.000 10/23/2008 USD 0.100 Lehman Brothers Trea 10.000 2/16/2009 CHF 0.100 Lehman Brothers Trea 11.750 3/1/2010 EUR 0.100 PA Resources AB 13.500 3/3/2016 SEK 0.124 Serica Energy Chinoo 12.500 9/27/2019 USD 1.500 Phosphorus Holdco PL 10.000 4/1/2019 GBP 0.144 Lehman Brothers Trea 17.000 6/2/2009 USD 0.100 Lehman Brothers Trea 12.400 6/12/2009 USD 0.100 Lehman Brothers Trea 11.000 7/4/2011 CHF 0.100 Lehman Brothers Trea 16.800 8/21/2009 USD 0.100 ********* 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 * * *