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251224.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 Wednesday, December 24, 2025, Vol. 26, No. 256 Headlines F R A N C E KI KNIGHT: S&P Assigns 'B' LT Issuer Credit Rating, Outlook Stable G E R M A N Y REVOCAR 2020: S&P Raises Class C-Dfrd Notes Rating to 'BB+ (sf)' I R E L A N D AQUEDUCT EUROPEAN 15: S&P Assigns B-(sf) Rating to F-R-R-R Notes CAPITAL FOUR VI: S&P Assigns B- (sf) Rating to Class F-R Notes DRYDEN 48 2016: S&P Assigns B- (sf) Rating to Class F-R-R Notes JUBILEE CLO 2025-XXXII: S&P Assigns B-(sf) Rating to Class F Notes SCULPTOR EUROPEAN XI: S&P Assigns B- (sf) Rating to Cl. F-R Notes TIKEHAU CLO III: S&P Assigns B- (sf) Rating to Class F-R Notes I T A L Y RENO DE MEDICI: S&P Lowers ICR to 'CCC+' on Weak Cash Generation L U X E M B O U R G SOLABEN LUXEMBOURG: S&P Lowers ICR to 'BB+', Outlook Stable R U S S I A APEX INSURANCE: S&P Raises LT Fin'l. Strength Rating to 'BB' S P A I N ANSELMA: S&P Cuts Issue Rating on Class B Sr. Sec. Debt to 'BB-' U N I T E D K I N G D O M CLAYTON EQUIPMENT: Begbies Traynor Appointed as Administrators MORTIMER BTL 2023-1: S&P Affirms 'BB+ (sf)' Rating on X-Dfrd Notes PETROFAC LIMITED: Statement of Proposals Available T. HAYSELDEN: FRP Hodgett Appointed as Administrators - - - - - =========== F R A N C E =========== KI KNIGHT: S&P Assigns 'B' LT Issuer Credit Rating, Outlook Stable ------------------------------------------------------------------ S&P Global Ratings assigned its 'B' long-term issuer credit rating to French insurance broker KI Knight France Bidco and its 'B' issue rating and '3' recovery rating to the company's senior secured term loan B (TLB). The recovery rating indicates its expectation of about 50% recovery in a payment default. The stable outlook reflects S&P's view that Kereis will continue to increase its revenue and EBITDA, benefiting from the existing back book of managed HCI contracts, expected favorable market tailwinds driving insurance premium growth, and increased broker penetration in other product lines, leading to sustained positive FOCF and funds from operations (FFO) cash interest of about 2. Private equity firm Advent acquired a majority stake in French insurance Broker Kereis via its holding company KI Knight France Bidco SAS, which issued EUR1.30 billion of new credit facilities, including a EUR1.13 billion senior secured term loan B (TLB) and a EUR175 million revolving credit facility (RCF). Kereis holds a leading position in the French insurance brokerage market for housing credit insurance (HCI), its historical main line of business, and has diversified and enlarged its product offering in recent years. Following the acquisition by Advent, S&P forecasts S&P Global Ratings-adjusted debt to EBITDA of 7.8x for year-end 2025, falling to 7.1x in 2026 on EBITDA growth, alongside solid free operating cash flow (FOCF) of EUR50 million-EUR55 million per year. Kereis refinanced its capital structure upon its acquisition by private-equity firm Advent. To finance the transaction, Kereis' new intermediate holding company, KI Knight France Bidco SAS, issued a EUR1.13 billion, seven-year senior secured TLB maturing in 2032 and a EUR175 million, 6.5-year RCF. Advent and Kereis' top managers also contributed equity, part of it in the form of preferred shares that S&P considers equity, because the instrument's terms indicate it will act as a cushion to conserve cash and absorb any losses ahead of the company's debt. Kereis holds a leading position in the French insurance brokerage market for HCI, its historical main line of business, and has diversified its offering in other insurance products. It estimates its market shares in individual HCI at 30%-35% in France. Over the past few years, the group has enlarged its product offering and now offers protection and health (P/H) insurance to individuals, small and midsize enterprises (SMEs) and self-employed workers, as well as property and casualty (P/C) insurance, consumer credit insurance (CCI), and wealth management services. These products benefit from favorable growth prospects because they are either required in practice by banks (e.g., HCI, with an attachment rate of about 95%) or mandatory for employers to provide to their workers (P/H). This increases the resiliency and visibility of revenue streams for Kereis. Kereis' historical housing credit insurance market has significantly changed due to regulatory developments in France over the past 15 years. Various laws have gradually enabled individuals to change their credit protection insurance provider. Initially, switching was allowed on the first anniversary of the contract (Hamon Law, 2015), then on each annual anniversary (Bourquin law, 2020), and finally, at any time during the life of the contract (Lemoine law, 2022.) These changes have allowed insurance brokers to expand their activity in the housing credit insurance market, while increasing competition in the sector. Kereis' legacy group HCI business is gradually shrinking, but the group continues to expand and maintains its leading position via individual HCI contracts. However, in the past two years, the credit protection segment was negatively affected by the fall in new mortgages due to high interest rates. Nevertheless, the stock of outstanding mortgages has been stable over this period. S&P foresees a gradual recovery in mortgages in 2025 and 2026. Kereis benefits from strong revenue visibility based on its back book of managed insurance policies. About 80% of revenue is recurring because it relies on the existing portfolio of insurance contracts that the group manages, rather than on new insurance underwriting. Insurance policies typically are for four to eight years on average depending on the type of product, providing Kereis with high visibility on revenue and cash flow, even in a steady-state scenario. The group has made significant investments in its integrated front-to-back IT platform, supporting its competitive advantage. Its integrated IT platform covers the whole value chain for insurance activity, from design to distribution, contract and claim management, to reporting. These digital tools tend to be embedded in workflows for clients (such as banks and insurance carriers), creating barriers to entry through high switching costs. This translates into high customer retention rates of about 90% within the HCI segment. The business is highly cash generative. Kereis benefits from high EBITDA margins and negative working capital, given that it collects premiums and remits them to risk carriers 30-60 days after collection. This supports good cash conversion. The group's limited scale and scope, and high customer concentration, constrain its business risk profile. Kereis generates about 88% of revenue in France. It also has significant customer concentration, with its No. 1 partner accounting for about one-quarter of the group's revenue and the top five representing 35%. Although this is tempered by customer stickiness, given the long-term relationships and because it would be complex and costly for banks to internalize this service or switch service provider, this remains a key consideration in S&P's business risk assessment. However, in some cases where the contract is not renewed, the company would continue to receive commissions on the existing loans until they are repaid. Kereis' profitability has gradually decreased due to changes in its business mix. The group used to post adjusted EBITDA margins above 50%, when it generated most of its revenue from its HCI business. Its recent product diversification resulted in a gradual decrease in EBITDA margins (36.8% in 2024). Nevertheless, margins still exceed the peer average and are higher than the margins of other professional service providers S&P rates. The insurance brokerage market is highly fragmented and competitive. Barriers to entry are limited and insurance brokerage is a relationship-driven business, where peers compete to purchase books of business without necessarily acquiring competitors outright. Outside its legacy group HCI business, where Kereis benefits from long-term contracts with large banks and their captive insurers, revenue streams can be more vulnerable to competitors' actions than service providers that have a contracted revenue base. However, Kereis' brokerage platform offers some scale advantage, enabling, for instance, lower processing fees. S&P said, "The rating is constrained by Kereis' financial sponsor ownership and leverage tolerance. Following the acquisition by Advent, we anticipate S&P Global Ratings-adjusted debt to EBITDA of 7.8x for year-end 2025, falling to 7.1x in 2026. We forecast FFO cash interest coverage above 2.0x and solid FOCF of EUR50 million-EUR55 million in 2025-2026 (excluding financing and transaction costs estimated at EUR50 million in 2025). The company's year-to-date performance supports those projections, as in the first half of 2025, Kereis posted 3% revenue growth, above management budget. Kereis completed five acquisitions in that period, all contributing to the group's direct brokerage segment. We do not expect dividend payments in the next couple of years, but think management will seek more tuck-in acquisitions to consolidate its direct brokerage business and further diversify its product offering, either of which would likely limit a sustained deleveraging. "The stable outlook reflects our view that Kereis will continue to grow its revenue and EBITDA, benefiting from the recurring revenue stream from its existing back book of managed HCI contracts, expected favorable market tailwinds driving insurance premiums' growth, and increased broker penetration in other product lines. This will support annual revenue growth of 8%-9% in 2025, including bolt-on acquisitions, resilient FOCF of EUR50 million-EUR55 million (excluding transaction costs), and FFO cash interest coverage above 2.0x." S&P could lower the rating in the next 12 months if FFO cash interest coverage declined below 2x or FOCF turned negative sustainably. This could result from: -- A steeper decline in mortgage production in France, resulting in a weaker stream of new commissions, or underperformance across other European markets; -- A significant decline in operating margins and a higher volatility in profitability due to an unfavorable business mix and increased competition; or -- The company pursuing shareholder-friendly actions, such as material dividend distributions or large debt-financed acquisitions, given its highly leveraged structure. S&P said, "Although we view an upgrade over the next year as unlikely due to the high debt structure, we could consider one if Kereis demonstrated improved credit metrics, such that adjusted debt to EBITDA declined to about or below 5x while maintaining solid FOCF, and the company demonstrated and maintained a financial policy commensurate with a higher rating." This could happen if operating conditions exceed our expectations, leading to accelerated growth in adjusted EBITDA. ============= G E R M A N Y ============= REVOCAR 2020: S&P Raises Class C-Dfrd Notes Rating to 'BB+ (sf)' ---------------------------------------------------------------- S&P Global Ratings raised to 'BBB+ (sf)' from 'BBB (sf)' its credit rating on Revocar 2020 UG's class C-Dfrd notes and to 'BB+ (sf)' from 'BB- (sf)' its rating on the class C-Dfrd notes. At the same time, S&P affirmed its 'AAA (sf)' rating on the class A notes and 'A (sf)' rating on the class B-Dfrd notes. S&P also removed the under criteria observation (UCO) identifier from the class B-Dfrd, C-Dfrd and D-Dfrd notes, which was applied following the publication of the revised counterparty criteria. The collateral in RevoCar 2020 comprises German auto loan receivables that Bank11 fur Privatkunden und Handel GmbH (Bank11) originated and granted to its mostly private customers for the purchase of new and used vehicles, primarily cars. While S&P's rating on the class A notes addresses the timely payment of interest and the ultimate payment of principal, its ratings on the class B-Dfrd to D-Dfrd notes address the ultimate payment of principal and the ultimate payment of interest. Furthermore, there is no compensation mechanism that would accrue interest on deferred interest in this transaction. S&P said, "The application of our revised counterparty criteria has no effect on the maximum achievable rating ('AAA') in this transaction due to counterparty risk. In line with these criteria, we do not stress a commingling loss in our cash flow runs. Previously, we stressed a commingling loss stemming from the notification period. "The transaction originally closed on June 10, 2020. In May 2024, the revolving phase has been extended by four years to June 2028. Once the revolving phase ends or any triggers are breached, the transaction will amortize sequentially. Due to the ongoing revolving phase, credit enhancement remains unchanged since closing." S&P's credit assumptions remain unchanged since its previous review in June 2025. Credit assumptions Parameter Current Gross loss base case (%) 2.00 Gross loss multiple ('AAA') 4.9 Gross loss multiple ('A') 2.9 Gross loss multiple ('BBB+') 2.4 Gross loss multiple ('BB+') 1.7 Recoveries base case (%) 40 Recoveries haircut ('AAA') (%) 45 Recoveries haircut ('A') (%) 26.3 Recoveries haircut ('BBB+') (%) 23.8 Recoveries haircut ('BB+') (%) 18.8 Balloon loss ('AAA') (%) 9.0 Balloon loss ('A') (%) 4.4 Balloon loss ('BBB+') (%) 3.5 Balloon loss ('BB+') (%) N/A N/A--Not applicable. S&P said, "Our operational and legal analysis is unchanged since closing. We consider that the transaction documents adequately mitigate the transaction's exposure to counterparty risk through the transaction bank account provider (The Bank of New York Mellon, Frankfurt Branch) up to a 'AAA' rating. "In our cash flow analysis, we did not apply any stresses due to commingling, in line with our updated counterparty criteria. Our analysis indicates that the available credit enhancement for the class A, B-Dfrd, C-Dfrd, and D-Dfrd notes is sufficient to withstand the credit and cash flow stresses that we apply at the 'AAA', 'A', 'BBB+', and 'BB+' rating levels, respectively. "We consider the transaction's resilience in case of additional stresses to some key variables, in particular defaults and recoveries, to determine our forward-looking view. "In our view, the ability of the borrowers to repay their loans will be highly correlated to macroeconomic conditions, particularly the unemployment rate and, to a lesser extent, consumer price inflation and interest rates. Our current unemployment rate forecast for Germany is 3.8% for 2025 and 3.7% in 2026, and our inflation forecast is 2.2% this year and 1.8% in 2026. "We therefore ran additional scenarios with increased gross defaults by up to 30% and reduced expected recoveries by up to 30%. The results of this sensitivity analysis indicate a deterioration of no more than four notches on the ratings on the notes, which is in line with the credit stability considerations in our rating definitions." ============= I R E L A N D ============= AQUEDUCT EUROPEAN 15: S&P Assigns B-(sf) Rating to F-R-R-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its credit ratings to Aqueduct European CLO 15 DAC's class A-R-R-R, B-R-R-R, C-R-R-R, D-R-R-R, E-R-R-R, and F-R-R-R notes. At closing, the issuer also issued unrated class Z1, Z2, and Z3, and subordinated notes. This transaction is a reset of the already existing transaction that closed in August 2021. The issuance proceeds of the refinancing notes were used to redeem the refinanced debt (the original transaction's class A-R-R, B-R-R, C-R-R, D-R-R, E-R-R, and F-R-R notes, for which S&P withdrew its ratings at the same time), and pay fees and expenses incurred in connection with the reset. The ratings assigned to Aqueduct European CLO 15 DAC's notes reflect S&P's assessment of: -- The diversified collateral pool, which primarily comprises broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes and loan through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which are in line with S&P's counterparty rating framework. Portfolio benchmarks S&P Global Ratings' weighted-average rating factor 2,787.39 Default rate dispersion 547.77 Weighted-average life (years) 4.60 Weighted-average life (years) extended to cover the length of the reinvestment period 4.60 Obligor diversity measure 185.80 Industry diversity measure 23.39 Regional diversity measure 1.37 Transaction key metrics Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 2.80 Target 'AAA' weighted-average recovery (%) 36.23 Target weighted-average spread (net of floors, %) 3.74 Target weighted-average coupon (%) 3.58 Rationale Under the transaction documents, the rated notes will pay quarterly interest unless a frequency switch event occurs. Following this, the notes will switch to semiannual payments. The portfolio's reinvestment period will end approximately 4.60 years after closing. The portfolio is well diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans and bonds. Therefore, S&P has conducted its credit and cash flow analysis by applying its criteria for corporate cash flow CDOs. S&P said, "In our cash flow analysis, we modeled a target par of EUR450 million. We also modeled the covenanted weighted-average spread (3.65%), the covenanted weighted-average coupon (4.00%), and the actual weighted-average recovery rates calculated in line with our CLO criteria for all classes of notes. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "Until the end of the reinvestment period on July 25, 2030, the collateral manager may substitute assets in the portfolio as long as our CDO Monitor test is maintained or improved in relation to the initial ratings on the notes and loan. This test looks at the total amount of losses that the transaction can sustain--as established by the initial cash flows for each rating--and compares that with the current portfolio's default potential plus par losses to date. As a result, until the end of the reinvestment period, the collateral manager may through trading deteriorate the transaction's current risk profile, if the initial ratings are maintained. "Under our structured finance sovereign risk criteria, the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. "The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our counterparty criteria. "The transaction's legal structure and framework is bankruptcy remote, in line with our legal criteria. "HPS Investment Partners CLO (UK) LLP manages the CLO, and the maximum potential rating on the liabilities is 'AAA' under our operational risk criteria. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe the assigned ratings are commensurate with the available credit enhancement for the class A-R-R-R and F-R-R-R notes. Our credit and cash flow analysis indicates that the available credit enhancement for the class B-R-R-R to E-R-R-R notes could withstand stresses commensurate with higher ratings than those assigned. However, as the CLO will be in its reinvestment phase starting from closing--during which the transaction's credit risk profile could deteriorate--we have capped our ratings on the notes. "Given our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe our ratings are commensurate with the available credit enhancement for all the rated classes of notes and loan. "In addition to our standard analysis, to indicate how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we also included the sensitivity of the ratings on the class A-R-R-R to E-R-R-R notes based on four hypothetical scenarios." Environmental, social, and governance S&P said, "We regard the transaction's exposure to environmental, social, and governance (ESG) credit factors as broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental and social credit factors is viewed as below average, while governance credit factors are average. For this transaction, the documents prohibit or limit certain assets from being related to certain activities. Accordingly, since the exclusion of assets from these activities does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Aqueduct European CLO 15 DAC is a European cash flow CLO securitization of a revolving pool, comprising mainly euro-denominated leveraged loans and bonds. The transaction is a broadly syndicated CLO managed by HPS Investment Partners CLO (UK) LLP. Ratings Amount Credit Class Rating* (mil. EUR) enhancement (%) Interest rate§ A-R-R-R AAA (sf) 279.000 38.00 Three/six-month EURIBOR plus 1.32% B-R-R-R AA (sf) 49.500 27.00 Three/six-month EURIBOR plus 2.00% C-R-R-R A (sf) 28.125 20.75 Three/six-month EURIBOR plus 2.45% D-R-R-R BBB- (sf) 31.500 13.75 Three/six-month EURIBOR plus 3.50% E-R-R-R BB- (sf) 19.120 9.50 Three/six-month EURIBOR plus 6.15% F-R-R-R B- (sf) 13.500 6.50 Three/six-month EURIBOR plus 8.89% Z-1 NR 0.10 N/A N/A Z-2 NR 0.10 N/A N/A Z-3 NR 0.10 N/A N/A Sub notes NR 185.97 N/A N/A *The ratings assigned to the class A-R-R-R and B-R-R-R notes address timely interest and ultimate principal payments. The ratings assigned to the class C-R-R-R, D-R-R-R, E-R-R-R, and F-R-R-R notes address ultimate interest and principal payments. §The payment frequency switches to semiannual and the index switches to six-month EURIBOR when a frequency switch event occurs. EURIBOR--Euro Interbank Offered Rate. NR--Not rated. N/A--Not applicable. CAPITAL FOUR VI: S&P Assigns B- (sf) Rating to Class F-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its credit ratings to Capital Four CLO VI DAC's class X-R, A-R, B-R, C-R, D-R, E-R, and F-R notes. The issuer has EUR26.577 million subordinated notes outstanding from the previous transaction and has also issued an additional EUR4.50 million unrated subordinated notes. This is a European cash flow CLO transaction, securitizing a pool of primarily syndicated senior secured loans and bonds. The portfolio's reinvestment period will end 3.1 years after closing. This transaction is a reset of the already existing transaction that closed in September 2023. The existing classes of notes were fully redeemed with the proceeds from the issuance of the replacement notes on the reset date. S&P has withdrawn its ratings on the original notes. Under the transaction documents, the rated notes pay quarterly interest unless there is a frequency switch event. Following this, the notes will switch to semiannual payments. The ratings assigned to Capital Four CLO VI's notes reflect S&P's assessment of: -- The diversified collateral pool, which primarily comprises broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which are in line with S&P's counterparty rating framework. Portfolio benchmarks S&P Global Ratings' weighted-average rating factor 2,687.74 Default rate dispersion 612.94 Weighted-average life (years) 4.62 Obligor diversity measure 156.29 Industry diversity measure 21.92 Regional diversity measure 1.29 Transaction key metrics Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 1.86 Target 'AAA' weighted-average recovery (%) 36.08 Target weighted-average spread (net of floors; %) 3.61 Target weighted-average coupon (%) 3.52 Rationale S&P said, "The portfolio is well diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans and senior secured bonds. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "In our cash flow analysis, we used the EUR400 million target par amount, the target weighted-average spread (3.61%), the target weighted-average coupon (3.52%), and the target weighted-average recovery rates calculated in line with our CLO criteria for all classes of notes. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "Until the end of the reinvestment period on Jan. 25, 2029, the collateral manager may substitute assets in the portfolio as long as our CDO Monitor test is maintained or improved in relation to the initial ratings on the notes. This test looks at the total amount of losses that the transaction can sustain--as established by the initial cash flows for each rating--and compares that with the current portfolio's default potential plus par losses to date. As a result, until the end of the reinvestment period, the collateral manager may through trading deteriorate the transaction's current risk profile, if the initial ratings are maintained. "Following the application of our structured finance sovereign risk criteria, we consider the transaction's exposure to country risk to be limited at the assigned ratings, as the exposure to individual sovereigns does not exceed the diversification thresholds outlined in our criteria. "The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our counterparty criteria. "The transaction's legal structure and framework is bankruptcy remote, in line with our legal criteria. "The CLO is co-managed by Capital Four CLO Management II K/S and Capital Four Management Fondsmæglerselskab A/S, and the maximum potential rating on the liabilities is 'AAA' under our operational risk criteria. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe the ratings are commensurate with the available credit enhancement for the class X-R to F-R notes. Our credit and cash flow analysis indicates that the available credit enhancement for the class B-R to D-R notes could withstand stresses commensurate with higher ratings than those assigned. However, as the CLO will be in its reinvestment phase--during which the transaction's credit risk profile could deteriorate--we have capped our assigned ratings on the notes. "Given our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe our ratings are commensurate with the available credit enhancement for all the rated classes of notes. "Our credit and cash flow analysis indicates that the available credit enhancement for the class F-R notes could withstand stresses commensurate with a lower rating. However, we have applied our 'CCC' rating criteria and assigned a 'B- (sf)' rating to this class of notes." The ratings uplift for the class F-R notes reflects several key factors, including: -- The class F-R notes' available credit enhancement, which is in the same range as that of other CLOs S&P has rated and that has recently been issued in Europe. -- The portfolio's average credit quality, which is similar to other recent CLOs. -- S&P's model generated break-even default rate at the 'B-' rating level of 19.26% (for a portfolio with a weighted-average life of 4.62 years), versus if it was to consider a long-term sustainable default rate of 3.2% for 4.62 years, which would result in a target default rate of 14.66%. -- S&P does not believe that there is a one-in-two chance of this note defaulting. -- S&P does not envision this tranche defaulting in the next 12-18 months. S&P said, "Following this analysis, we consider that the available credit enhancement for the class F-R notes is commensurate with the assigned 'B- (sf)' rating. "In addition to our standard analysis, to indicate how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we also included the sensitivity of the ratings on the class X-R to E-R notes based on four hypothetical scenarios. "As our ratings analysis makes additional considerations before assigning ratings in the 'CCC' category, and we would assign a 'B-' rating if the criteria for assigning a 'CCC' category rating are not met, we have not included the above scenario analysis results for the class F-R notes." Environmental, social, and governance S&P said, "We regard the transaction's exposure to environmental, social, and governance (ESG) credit factors as broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental and social credit factors is viewed as below average, while governance credit factors are average. For this transaction, the documents prohibit or limit assets from being related to certain industries. Since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Capital Four CLO VI is a European cash flow CLO securitization of a revolving pool, comprising mainly euro-denominated leveraged loans and bonds. It is co-managed by Capital Four CLO Management II K/S and Capital Four Management Fondsmæglerselskab A/S. Ratings Amount Credit Class Rating* (mil. EUR) Interest rate§ enhancement (%) X-R AAA (sf) 2.50 3mE +1.00% N/A A-R AAA (sf) 248.00 3mE +1.27% 38.00 B-R AA (sf) 43.00 3mE +1.95% 27.25 C-R A (sf) 24.00 3mE +2.20% 21.25 D-R BBB- (sf) 28.00 3mE +3.25% 14.25 E-R BB- (sf) 19.00 3mE +5.70% 9.50 F-R B- (sf) 12.00 3mE +8.75% 6.50 Sub NR 31.077 N/A N/A *The ratings assigned to the class X-R, A-R, and B-R notes address timely interest and ultimate principal payments. The ratings assigned to the class C-R, D-R, E-R, and F-R notes address ultimate interest and principal payments. §The payment frequency switches to semiannual and the index switches to six-month Euro Interbank Offered Rate (EURIBOR) when a frequency switch event occurs. NR--Not rated. N/A--Not applicable. 3mE--Three-month EURIBOR. DRYDEN 48 2016: S&P Assigns B- (sf) Rating to Class F-R-R Notes --------------------------------------------------------------- S&P Global Ratings assigned credit ratings to Dryden 48 Euro CLO 2016 DAC's class A-R-R, B-1-R-R, B-2-R-R, C-R-R, D-1-R-R, D-2-R-R, E-R-R, and F-R-R notes. At closing, the issuer also issued unrated subordinated notes. The portfolio's reinvestment period will end approximately 5.1 years after closing, while the non-call period will end 2.0 years after closing. This transaction is a reset of the already existing transaction that we rated. S&P withdrew its ratings on the existing classes of notes, which were fully redeemed with the proceeds from the issuance of the replacement notes. The ratings reflect S&P's assessment of: -- The diversified collateral pool, which primarily comprises broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which are in line with S&P's counterparty rating framework. Portfolio benchmarks S&P Global Ratings' weighted-average rating factor 2805.93 Default rate dispersion 553.08 Weighted-average life 4.67 Weighted-average life (years) 5.08 Obligor diversity measure 116.08 Industry diversity measure 26.02 Regional diversity measure 1.21 Transaction key metrics Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 2.52 Actual 'AAA' weighted-average recovery (%) 37.07 Actual weighted-average spread (net of floors; %) 3.93 Actual weighted-average coupon (%) 3.59 Under the transaction documents, the rated notes will pay quarterly interest unless a frequency switch event occurs. Following this, the notes will switch to semiannual payments. Rationale S&P said, "The portfolio is well diversified at closing, primarily comprising broadly syndicated speculative-grade senior secured term loans and senior secured bonds. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "In our cash flow analysis, we used the EUR400 million target par amount, the actual weighted-average spread (3.93%), and the actual weighted-average coupon (3.59%) as indicated by the collateral manager. We have assumed the targeted weighted-average recovery rates for all rated notes (37.07% at 'AAA'). We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "Our credit and cash flow analysis indicates that the available credit enhancement for class B-1-R-R to E-R-R notes could withstand stresses commensurate with higher ratings than those we have assigned. However, as the CLO has the reinvestment period until Jan. 15, 2031 during which the transaction's credit risk profile could deteriorate, we have capped the assigned ratings. "Under our structured finance sovereign risk criteria, we consider that the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. "The transaction's documented counterparty replacement and remedy mechanisms to adequately mitigate its exposure to counterparty risk under our current counterparty criteria. "The transaction's legal structure and framework is bankruptcy remote, in line with our legal criteria. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe our ratings are commensurate with the available credit enhancement for the class A-R-R to F-R-R notes. "In addition to our standard analysis, to indicate how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we also included the sensitivity of the ratings on the class A-R-R to E-R-R notes based on four hypothetical scenarios. "As our ratings analysis makes additional considerations before assigning ratings in the 'CCC' category--and we would assign a 'B-' rating if the criteria for assigning a 'CCC' category rating are not met--we have not included the above scenario analysis results for the class F-R-R notes." Environmental, social, and governance S&P said, "We regard the transaction's exposure to environmental, social, and governance (ESG) credit factors as broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental and social credit factors is viewed as below average, while governance credit factors are average. For this transaction, the documents prohibit or limit assets from being related to certain industries. Since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Dryden 48 Euro CLO 2016 DAC securitizes a portfolio of primarily senior secured leveraged loans and bonds. PGIM Loan Originator Manager Ltd. manages the transaction. Ratings Amount Credit Class Rating* (mil. EUR) Interest rate§ enhancement (%) A-R-R AAA (sf) 248.00 Three/six-month EURIBOR 38.00 plus 1.30% B-1-R-R AA (sf) 27.00 Three/six-month EURIBOR 27.50 plus 2.00% B-2-R-R AA (sf) 15.00 4.80% 27.50 C-R-R A (sf) 24.00 Three/six-month EURIBOR 21.50 plus 2.40% D-1-R-R BBB (sf) 28.00 Three/six-month EURIBOR 14.50 plus 3.60% D-2-R-R BBB- (sf) 3.00 Three/six-month EURIBOR 13.75 plus 4.50% E-R-R BB- (sf) 17.00 Three/six-month EURIBOR 9.50 plus 5.93% F-R-R B- (sf) 12.00 Three/six-month EURIBOR 6.50 plus 8.41% Sub. Notes NR 52.50 N/A N/A *The ratings assigned to the class A-R-R, B-1-R-R, and B-2-R-R notes address timely interest and ultimate principal payments. The ratings assigned to the class C-R-R to F-R-R notes address ultimate interest and principal payments. §The payment frequency switches to semiannual and the index switches to six-month EURIBOR when a frequency switch event occurs. Sub. notes—Subordinated notes. EURIBOR--Euro Interbank Offered Rate. NR--Not rated. N/A--Not applicable. JUBILEE CLO 2025-XXXII: S&P Assigns B-(sf) Rating to Class F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its credit ratings to Jubilee CLO 2025-XXXII DAC's class A-1 to F notes. At closing, the issuer also issued unrated subordinated notes. This is a European cash flow CLO transaction, securitizing a portfolio of primarily senior secured leveraged loans and bonds. BSP CLO Management LLC manages the transaction. The ratings assigned to the notes reflect S&P's assessment of: -- The diversified collateral pool, which primarily comprises broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which are in line with S&P's counterparty rating framework. Under the transaction documents, the rated notes will pay quarterly interest unless there is a frequency switch event. Following this, the notes will permanently switch to semiannual payments. The transaction has a 1.5 year-noncall period and the portfolio's reinvestment period ends 4.49 years after closing. Portfolio benchmarks S&P Global Ratings' weighted-average rating factor 2,630.73 Default rate dispersion 679.69 Weighted-average life (years) 4.97 Obligor diversity measure 156.51 Industry diversity measure 21.61 Regional diversity measure 1.28 Transaction key metrics Total par amount (mil. EUR) 500.00 Defaulted assets (mil. EUR) 0.00 Number of performing obligors 198 Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 0.34 Actual 'AAA' weighted-average recovery (%) 36.48 Actual portfolio weighted-average spread (%) 3.66 Actual portfolio weighted-average coupon (%) 4.56 S&P said, "The portfolio is well-diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans and senior secured bonds. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. As such, we have not applied any additional scenario and sensitivity analysis when assigning ratings to any class of notes in this transaction. "In our cash flow analysis, we used the EUR500 million target par amount, the covenanted weighted-average spread (3.55%), the covenanted weighted-average coupon (3.50%) as indicated by the collateral manager, and the identified weighted-average recovery rates for all rated notes. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "Our credit and cash flow analysis indicates that the available credit enhancement for the class B-1, B-2, C, D-1, D-2, and E notes could withstand stresses commensurate with higher ratings than those assigned. However, as the CLO will be in its reinvestment phase starting from closing, during which the transaction's credit risk profile could deteriorate, we have capped the assigned ratings. The class A-1, A-2, and F notes can withstand stresses commensurate with the assigned ratings. "Until the end of the reinvestment period on June 13, 2030, the collateral manager may substitute assets in the portfolio for so long as our CDO Monitor test is maintained or improved in relation to the initial ratings on the notes. This test looks at the total amount of losses that the transaction can sustain as established by the initial cash flows for each rating and compares that with the current portfolio's default potential plus par losses to date. As a result, until the end of the reinvestment period, the collateral manager may through trading deteriorate the transaction's current risk profile, if the initial ratings are maintained. "The transaction's documented counterparty replacement and remedy mechanisms to adequately mitigate its exposure to counterparty risk under our current counterparty criteria. "Following the application of our structured finance sovereign risk criteria, we consider the transaction's exposure to country risk to be limited at the assigned ratings, as the exposure to individual sovereigns does not exceed the diversification thresholds outlined in our criteria. "The transaction's legal structure is bankruptcy remote, in line with our legal criteria. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe that our assigned ratings are commensurate with the available credit enhancement for the class A-1, A-2, B-1, B-2, C, D-1, D-2, E, and F notes. "In addition to our standard analysis, we have also included the sensitivity of the ratings on the class A-1 to E notes to four hypothetical scenarios." Environmental, social, and governance factors S&P said, "We regard the exposure to environmental, social, and governance (ESG) credit factors in the transaction as being broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental credit factors is viewed as below average, social credit factors are below average, and governance credit factors are average. For this transaction, the documents prohibit assets from being related to certain industries. Accordingly, since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Jubilee CLO 2025-XXXII is a European cash flow CLO transaction, securitizing a portfolio of primarily senior secured leveraged loans and bonds. BSP CLO Management LLC manages the transaction. Ratings Amount Credit Class Rating* (mil. EUR) enhancement (%) Interest rate§ A-1 AAA (sf) 305.00 39.00 Three/six-month EURIBOR plus 1.28% A-2 AAA (sf) 7.50 37.50 Three/six-month EURIBOR plus 1.70% B-1 AA (sf) 42.50 26.50 Three/six-month EURIBOR plus 1.85% B-2 AA (sf) 12.50 26.50 Fixed 4.60% C A (sf) 30.00 20.50 Three/six-month EURIBOR plus 2.15% D-1 BBB- (sf) 36.25 13.25 Three/six-month EURIBOR plus 2.85% D-2 BBB- (sf) 2.75 12.70 Three/six-month EURIBOR plus 3.70% E BB- (sf) 17.25 9.25 Three/six-month EURIBOR plus 5.00% F B- (sf) 13.75 6.50 Three/six-month EURIBOR plus 8.00% Sub notes NR 46.25 N/A N/A *The ratings on the class A-1, A-2, B-1, and B-2 notes address timely interest and ultimate principal payments. The ratings on the other rated notes address ultimate interest and principal payments. §The payment frequency switches to semi-annual and the index switches to six-month EURIBOR when a frequency switch event occurs. EURIBOR--Euro Interbank Offered Rate. NR--Not rated. N/A--Not applicable. SCULPTOR EUROPEAN XI: S&P Assigns B- (sf) Rating to Cl. F-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its credit ratings to Sculptor European CLO XI DAC's class X, A-R, B-R, C-R, D-R, E-R, and F-R notes. At closing, the issuer has unrated subordinated notes outstanding from the existing transaction and issued additional subordinated notes. This transaction is a reset of the already existing transaction that closed in April 2024. The existing classes of notes were fully redeemed with the proceeds from the issuance of the replacement notes on the reset date. The ratings on the original notes have been withdrawn. The transaction has a 1.5-year noncall period and the portfolio's reinvestment period ends approximately 4.5 years after closing. Under the transaction documents, the rated notes will pay quarterly interest unless a frequency switch event occurs. Following this, the notes will switch to semiannual payments. The ratings assigned to the reset notes reflect S&P's assessment of: -- The diversified collateral pool, which primarily comprises broadly syndicated speculative-grade senior secured term loans and bonds governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which is in line with our counterparty rating framework. Portfolio benchmarks S&P Global Ratings weighted-average rating factor 2,757.71 Default rate dispersion 558.57 Weighted-average life (years) 4.66 Obligor diversity measure 128.77 Industry diversity measure 26.68 Regional diversity measure 1.35 Transaction key metrics Total par amount (mil. EUR) 400.00 Defaulted assets (mil. EUR) 0 Number of performing obligors 162 Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 1.95 'AAA' target portfolio weighted-average recovery (%) 36.89 Target weighted-average spread (net of floors, %) 3.74 Target weighted-average coupon (%) 4.22 Rating rationale S&P said, "Our ratings reflect our assessment of the collateral portfolio's credit quality, which has a weighted-average rating of 'B'. The portfolio is well diversified at closing, primarily comprising broadly syndicated speculative-grade senior secured term loans and senior secured bonds. Therefore, we conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "In our cash flow analysis, we modeled the EUR400 million par amount, the covenanted weighted-average spread of 3.65%, the covenanted weighted-average coupon of 4.00 %, and the identified weighted-average recovery rates at all rating levels, except at 'AAA' where we applied a 1% cushion. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category." Until the end of the reinvestment period on July 1, 2030, the collateral manager may substitute assets in the portfolio for so long as S&P's CDO Monitor test is maintained or improved in relation to the initial ratings on the loan and notes. This test looks at the total amount of losses that the transaction can sustain as established by the initial cash flows for each rating, and it compares that with the current portfolio's default potential plus par losses to date. As a result, until the end of the reinvestment period, the collateral manager may through trading deteriorate the transaction's current risk profile, as long as the initial ratings are maintained. The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under S&P's counterparty criteria. S&P said, "Following the application of our structured finance sovereign risk criteria, we consider the transaction's exposure to country risk limited at the assigned ratings, as the exposure to individual sovereigns does not exceed the diversification thresholds outlined in our criteria. "The transaction's legal structure is bankruptcy remote, in line with our legal criteria. "The operational risk associated with key transaction parties (such as the collateral manager) that provide an essential service to the issuer is in line with our operational risk criteria. "Our credit and cash flow analysis indicates that the available credit enhancement for the class B-R to E-R notes could withstand stresses commensurate with higher ratings than those we have assigned. However, as the CLO is still in its reinvestment phase, during which the transaction's credit risk profile could deteriorate, we capped our ratings on the notes. The class X and A-R notes could withstand stresses commensurate with the assigned ratings. "For the class F-R notes, our credit and cash flow analysis indicate that the available credit enhancement could withstand stresses commensurate with a lower rating. However, we have applied our 'CCC' rating criteria, resulting in a 'B- (sf)' rating on this class of notes." The ratings uplift for the class F-R notes reflects several key factors, including: -- The class F-R notes' available credit enhancement, which is in the same range as that of other CLOs S&P has rated and that has recently been issued in Europe. -- The portfolio's average credit quality, which is similar to other recent CLOs. -- S&P's model generated break-even default rate at the 'B-' rating level of 24.50% (for a portfolio with a weighted-average life of 4.66 years), versus if it was to consider a long-term sustainable default rate of 3.2% for 4.66 years, which would result in a target default rate of 14.91%. -- S&P does not believe that there is a one-in-two chance of this note defaulting. -- S&P does not envision this tranche defaulting in the next 12-18 months. S&P said, "Following this analysis, we consider that the available credit enhancement for the class F-R notes is commensurate with the assigned 'B- (sf)' rating. "In addition to our standard analysis, to provide an indication of how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we have also included the sensitivity of the ratings on the X to E-R notes based on four hypothetical scenarios. "As our ratings analysis makes additional considerations before assigning ratings in the 'CCC' category, and we would assign a 'B-' rating if the criteria for assigning a 'CCC' category rating are not met, we have not included the above scenario analysis results for the class F-R notes." Environmental, social, and governance S&P said, "We regard the exposure to environmental, social, and governance (ESG) credit factors in the transaction as being broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental credit factors is viewed as below average, social credit factors are below average, and governance credit factors are average. For this transaction, the documents prohibit assets from being related to certain activities. Accordingly, since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Sculptor European CLO XI is a European cash flow CLO securitization of a revolving pool, comprising euro-denominated senior secured loans and bonds issued mainly by speculative-grade borrowers. Sculptor Europe Loan Management Ltd. manages the transaction. Ratings Amount Credit Class Rating* (mil. EUR) enhancement (%) Interest rate§ X AAA (sf) 3.25 N/A Three/six-month EURIBOR plus 1.05% A-R AAA (sf) 248.00 38.00 Three/six-month EURIBOR plus 1.32% B-R AA (sf) 42.00 27.50 Three/six-month EURIBOR plus 2.00% C-R A (sf) 23.00 21.75 Three/six-month EURIBOR plus 2.30% D-R BBB- (sf) 29.00 14.50 Three/six-month EURIBOR plus 3.30% E-R BB- (sf) 20.00 9.50 Three/six-month EURIBOR plus 5.75% F-R B- (sf) 12.00 6.50 Three/six-month EURIBOR plus 8.91% Sub. Notes NR 28.40 N/A N/A Additional Sub. Notes NR 5.60 N/A N/A *The ratings assigned to the class X, A-R, and B-R notes address timely interest and ultimate principal payments. S&P's ratings on the class C-R, D-R, E-R, and F-R notes address ultimate interest and principal payments. §The payment frequency switches to semiannual and the index switches to six-month EURIBOR when a frequency switch event occurs. EURIBOR--Euro Interbank Offered Rate. Sub--Subordinated notes. NR--Not rated. N/A--Not applicable. TIKEHAU CLO III: S&P Assigns B- (sf) Rating to Class F-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its credit ratings to Tikehau CLO III DAC's class A-R, B-R, C-R, D-R, E-R, and F-R notes. The issuer has also issued unrated subordinated notes. This is a European cash flow CLO transaction, securitizing a pool of primarily syndicated senior secured loans and bonds. The portfolio's reinvestment period will end 4.6 years after closing. This transaction is a reset of the already existing transaction that closed in November 2017. The existing classes of notes were fully redeemed with the proceeds from the issuance of the replacement notes on the reset date. S&P has withdrawn its ratings on the original notes. Under the transaction documents, the rated notes pay quarterly interest unless there is a frequency switch event. Following this, the notes will switch to semiannual payments. The ratings assigned to Tikehau CLO III's notes reflect S&P's assessment of: -- The diversified collateral pool, which primarily comprises broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is bankruptcy remote. -- The transaction's counterparty risks, which are in line with S&P's counterparty rating framework. Portfolio benchmarks S&P Global Ratings' weighted-average rating factor 2,805.06 Default rate dispersion 486.66 Weighted-average life (years) 4.15 Weighted-average life extended to cover the length of the reinvestment period (years) 4.58 Obligor diversity measure 117.40 Industry diversity measure 22.51 Regional diversity measure 1.35 Transaction key metrics Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 1.58 Target 'AAA' weighted-average recovery (%) 35.68 Target weighted-average spread (net of floors; %) 3.65 Target weighted-average coupon (%) 4.13 Rationale S&P said, "The portfolio is well diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans and senior secured bonds. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "In our cash flow analysis, we used the EUR420 million target par amount. It is based on the prospective effective date portfolio provided to us by the collateral manager. The portfolio contains 40.00% of identified assets that have not been acquired yet, for which we were provided provisional assumptions to assess credit risk. The collateral manager will use commercially reasonable endeavors to ramp up the remaining 40.00% of the portfolio before the effective date. We also used the targeted weighted-average spread (3.65%) and the target weighted-average recovery rates calculated in line with our CLO criteria for all classes of notes. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "Until the end of the reinvestment period on July 15, 2030, the collateral manager may substitute assets in the portfolio as long as our CDO Monitor test is maintained or improved in relation to the initial ratings on the notes. This test looks at the total amount of losses that the transaction can sustain--as established by the initial cash flows for each rating--and compares that with the current portfolio's default potential plus par losses to date. As a result, until the end of the reinvestment period, the collateral manager may through trading deteriorate the transaction's current risk profile, if the initial ratings are maintained. "Following the application of our structured finance sovereign risk criteria, we consider the transaction's exposure to country risk to be limited at the assigned ratings, as the exposure to individual sovereigns does not exceed the diversification thresholds outlined in our criteria. "The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our counterparty criteria. "The transaction's legal structure and framework is bankruptcy remote, in line with our legal criteria. "The CLO is managed by Tikehau Capital Europe Ltd., and the maximum potential rating on the liabilities is 'AAA' under our operational risk criteria. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe the ratings are commensurate with the available credit enhancement for the class A-R to F-R notes. Our credit and cash flow analysis indicates that the available credit enhancement for the class B-R to D-R notes could withstand stresses commensurate with higher ratings than those assigned. However, as the CLO will be in its reinvestment phase--during which the transaction's credit risk profile could deteriorate--we have capped our assigned ratings on the notes. "Given our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe our ratings are commensurate with the available credit enhancement for all the rated classes of notes. "Our credit and cash flow analysis indicates that the available credit enhancement for the class F-R notes could withstand stresses commensurate with a lower rating. However, we have applied our 'CCC' rating criteria and assigned a 'B- (sf)' rating to this class of notes." The ratings uplift for the class F-R notes reflects several key factors, including: -- The class F-R notes' available credit enhancement, which is in the same range as that of other CLOs S&P has rated and that has recently been issued in Europe. -- The portfolio's average credit quality, which is similar to other recent CLOs. -- S&P said, "Our model generated break-even default rate at the 'B-' rating level of 24.11% (for a portfolio with a weighted-average life of 4.58 years), versus if we were to consider a long-term sustainable default rate of 3.2% for 4.58 years, which would result in a target default rate of 14.66%." -- S&P does not believe that there is a one-in-two chance of this note defaulting. -- S&P does not envision this tranche defaulting in the next 12-18 months. S&P said, "Following this analysis, we consider that the available credit enhancement for the class F-R notes is commensurate with the assigned 'B- (sf)' rating. "In addition to our standard analysis, to indicate how rising pressures among speculative-grade corporates could affect our ratings on European CLO transactions, we also included the sensitivity of the ratings on the class A-R to E-R notes based on four hypothetical scenarios. "As our ratings analysis makes additional considerations before assigning ratings in the 'CCC' category, and we would assign a 'B-' rating if the criteria for assigning a 'CCC' category rating are not met, we have not included the above scenario analysis results for the class F-R notes." Environmental, social, and governance S&P said, "We regard the transaction's exposure to environmental, social, and governance (ESG) credit factors as broadly in line with our benchmark for the sector. Primarily due to the diversity of the assets within CLOs, the exposure to environmental and social credit factors is viewed as below average, while governance credit factors are average. For this transaction, the documents prohibit or limit assets from being related to certain industries. Since the exclusion of assets from these industries does not result in material differences between the transaction and our ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities." Tikehau CLO III is a European cash flow CLO securitization of a revolving pool, comprising mainly euro-denominated leveraged loans and bonds. It is managed by Tikehau Capital Europe Ltd. Ratings Amount Credit Class Rating* (mil. EUR) Interest rate§ enhancement (%) A-R AAA (sf) 260.40 3mE +1.33% 38.00 B-R AA (sf) 43.30 3mE +2.00% 27.69 C-R A (sf) 25.20 3mE +2.30% 21.69 D-R BBB- (sf) 31.50 3mE +3.50% 14.19 E-R BB- (sf) 19.70 3mE +5.85% 9.50 F-R B- (sf) 12.60 3mE +8.91% 6.50 Sub NR 102.30 N/A N/A *The ratings assigned to the class A-R and B-R notes address timely interest and ultimate principal payments. The ratings assigned to the class C-R, D-R, E-R, and F-R notes address ultimate interest and principal payments. §The payment frequency switches to semiannual and the index switches to six-month Euro Interbank Offered Rate (EURIBOR) when a frequency switch event occurs. NR--Not rated. N/A--Not applicable. 3mE--Three-month EURIBOR. ========= I T A L Y ========= RENO DE MEDICI: S&P Lowers ICR to 'CCC+' on Weak Cash Generation ---------------------------------------------------------------- S&P Global Ratings lowered its long-term issuer credit rating on Italy-based recycled paper board Reno De Medici SpA (RDM) to 'CCC+' from 'B-'. S&P also downgraded the EUR600 million senior secured Notes due 2029 to 'CCC+' from 'B-'. The '4' recovery rating is unchanged, but S&P now estimates 30% recovery prospects (versus 40% previously) in a default scenario. S&P said, "The negative outlook reflects our expectation that RDM will generate negative FOCF in 2025 and 2026 and that its liquidity will remain constrained. We think prolonged negative FOCF could lead to an increased risk of default or covenant breach in the upcoming 12 months. "We expect RDM's free operating cash flow (FOCF) to remain negative in 2025 and 2026. This will largely reflect weak EBITDA (particularly in 2025) from soft prices and low levels of capacity utilization, along with rising input costs. We view FOCF as weak and insufficient for the group's indebtedness and believe that this capital structure is unsustainable. "We now consider RDM's liquidity weak, given depressed cash generation and limited available liquidity sources." Challenging market conditions continues to undermine EBITDA. The prolonged downturn in the recycled paper board segment is still constraining selling prices and demand. In addition, RDM is facing high costs, particularly in recycled paper and energy (gas). To reduce its cost base, the group closed several plants (including Blendecques, France, and Barcelona, Spain) over the past few years, leading to high restructuring and plant closure costs. For 2025, exceptional costs are estimated at EUR40 million and lead to S&P Global Ratings-adjusted EBITDA of just EUR44 million (6% margin), compared with EUR49 million and 6%, respectively, in 2024. S&P said, "We expect FOCF to remain negative over 2025 and 2026 and view the capital structure as unsustainable. We thereby expect 2025 to be the second straight year where EBITDA does not cover cash interest payments (EUR64 million in 2025). Insufficient EBITDA, a high interest burden, and maintenance capital expenditure (capex) of EUR30 million will lead to negative FOCF of EUR40 million-EUR50 million in 2025. In 2026, we assume that adjusted EBITDA will increase to EUR65 million-EUR70 million, largely due to lower exceptional costs (organic EBITDA will be nearly flat). Given similar cash interest payments and capex, FOCF will remain negative at EUR20 million-EUR30 million in 2026. In light of that, given a high debt burden (with S&P Global Ratings-adjusted leverage of above 12x) over our forecast horizon, we view RDM's capital structure as unsustainable. "We have revised our assessment of RDM's liquidity to weak. Liquidity remains undermined by weak cash funds from operations (FFO)--negative in 2025 and minimal in 2026--and limited availabilities under its revolving credit facility (RCF) or in cash. Earlier this year RDM also secured a short-term EUR50 million bank loan that it expects to be repay with the sale proceeds from the Barcelona mill. Given this, RDM's failure to improve cash generation could result in a liquidity shortfall in the next two years. "We revised our emergence EBITDA multiple to 4.5x from 5.0x. This stems from weaker profitability in the recycled paper board market than we anticipated. As a result, we lowered our rounded recovery expectations for RDM's senior secured notes to 30% (from 40% previously). "The negative outlook reflects our expectation that RDM will continue to generate negative FOCF over the next two years. We think any further deterioration in EBITDA and cash generation could lead to an increased risk of a default in the upcoming 12 months. "We could consider taking a negative rating action on the company if we observe an increased risk of default in the next 12 months. This could occur if RDM fails to improve its FOCF as we expect, leading to a liquidity shortfall and a higher risk of a missed interest payment. "We could revise the outlook to stable if RDM overperforms our projections and demonstrates a meaningful improvement in FOCF." =================== L U X E M B O U R G =================== SOLABEN LUXEMBOURG: S&P Lowers ICR to 'BB+', Outlook Stable ----------------------------------------------------------- S&P Global Ratings lowered its issue rating on Solaben Luxembourg S.A.'s senior bonds to 'BB+' from 'BBB-'. The stable outlook reflects S&P's expectation that technical parameters will be approved comfortably before June 2026 and that the issuer will maintain sufficient headroom over the minimum production requirements to ensure that it can consistently meet its requirements to receive the full Rinv revenue. Luxembourg-based limited-purpose entity Solaben issued EUR285 million of fixed-rate senior secured bonds and on-lent the proceeds under individual agreements to Solaben Electricidad Uno S.A. and Solaben Electricidad Seis S.A. (the borrowers or ProjectCos). ProjectCos then used the proceeds to refinance the debt raised for the construction of two 50-megawatt (MW) concentrated solar power (CSP) plants with parabolic trough technology (Solaben 1 and 6), in Spanish Autonomous Community of Extremadura. The issuer services the secured debt through regulated revenue underpinned by the Spanish specific remuneration regime for renewable projects until 2038 and proceeds from the sale of energy in the pool market. Under our capture electricity price assumptions, on average 77% of Solaben's revenue will come from the Rinv, 19% from the return on operations (Ro), and 4% from market revenue. S&P said, "We see the proposed technical parameters for 2026-2028 published Nov. 7 as very credit supportive because they reduce the risk of severe credit quality deterioration for Solaben. This is because they support the project's ability to receive the Rinv and limit severe cash flow shortfall in case the minimum production level is not met. Production eligible for the Rinv is eroded by negative electricity prices, which we expect will continue to grow; and by potential operational or technical issues, including irradiation levels, which can deviate actual production from expected levels. Under the draft parameters, the minimum equivalent hours of production (Hmin) required to receive the full Rinv falls 25%, while the production threshold (Uf), below which no remuneration is received, falls 60%. This reduces the risk of rapid and multinotch downgrade risk for Solaben because, absent these changes, we expect the project would have limited ability to absorb higher negative hours or production underperformance before compromising the receipt of the Rinv. "At the same time, changes to the specific remuneration regime approved Oct. 14 allowed Solaben to reach Hmin this year and support the receipt of the full Rinv amount. This reflects that production impaired by curtailment orders and energy delivered when electricity prices are zero (8 gigawatt-hours [GWh] from January-November) now count toward the calculation of Hmin. Without these changes, Solaben's ability to receive the Rinv revenue would have been severely compromised this year due to the spike in curtailment orders from July-September--39.5 GWh, or 60% of production--on top of an already-weak production record during the first half of the year due to a high number of hours with negative electricity prices and low irradiance levels. With the changes approved by the Royal Decree 917/2025, Solaben's plants were able to reach the 60 GWh of annual minimum production each by October-November and therefore secure the full amount of the Rinv revenue this year. "Nevertheless, negative electricity prices remain a key risk, and we see Solaben's headroom to absorb deviations from our forecasts as not commensurate with an investment-grade rating. Electricity produced when prices are negative for at least six consecutive hours is not recognized under the remuneration framework, eroding the issuer's ability to receive the full amount of the Rinv. We expect those periods may grow significantly, especially in the next two years, after having doubled in 2025, affecting 24 GWh or 16%-17% of the project's production by year end. Under these conditions, we think the proposed parameters could be insufficient to mitigate the risk from negative price hours, depending on the extent to which they will increase, and particularly if this occurs along with lower actual production than the P90 level assumed in our base-case scenario. This can create cash flow volatility, which we reflect with a higher business risk. "We expect a higher number of negative price hours on additional solar capacity and limited demand growth. Negative price episodes occur when there is an excess of electricity supply, which has been accentuated due to the rapid pace of solar installations in recent years, without a matched demand growth. We expect this downward pressure to continue, as more solar capacity connects to the grid in the next two years--7.3 GW expected in 2026 and 5.7 GW in 2027 (front and behind the meter), according to S&P Global Energy's latest forecast--and demand growth remains limited. Potential upside to this view includes battery deployment and higher demand growth from electrification and data centers, but we don't anticipate these trends to have a material impact on prices in the next 12-24 months. "We expect captured electricity prices for 2026-2028 will be lower than those the government estimated for setting the Ro under the draft technical parameters. As a result, if the final parameters were confirmed in line with those included in the draft, we expect that Solaben will be under-remunerated over the 2026-2028 semiregulatory period, though less compared with the current period. This is because we expect capture prices will continue to decrease in the next period, at EUR20 per megawatt-hour (/MWh)-EUR25/MWh, due to a higher penetration of solar generation, from about EUR30/MWh this year, while government's reference capture prices for the next period are on average EUR47/MWh under the proposed parameters. We therefore project a lower debt service coverage ratio (DSCR) for the next three years--with a median of 1.50x--compared with the long-term horizon median of 1.66x. "While curtailment orders are neutral to the Rinv, they continue affecting market and Ro revenue, which account for 20%-25% of Solaben's total revenue. We expect lower market and Ro revenue for the issuer, following the increase in curtailment orders that has impaired 46 GWh, or 30%, of its production year-to-date. We understand the increase observed this year could follow the reinforced operation mode imposed by the grid operator, Red Electrica, following the blackout in April, to prioritize synchronous generation. Although we expect this to be a temporary measure, it is uncertain when it will end, given that permanent solutions require regulatory and grid enforcement changes that take time to implement. Moreover, we think curtailment orders could increase on new solar capacity being installed as it exerts pressure on renewable excess supply until this is matched by growing demand. However, we expect this to be partially offset by the change in dispatch order, which was introduced with RD 917/2025 in October and started being applicable since November. This new dispatch order eliminates the disadvantage of CSP technology versus photovoltaic by granting first priority to all renewable generation. We assume this will have a positive impact on Solaben because the curtailment orders could be spread out among other nearby renewable technologies. "The stable outlook reflects our expectation that technical parameters will be approved comfortably ahead of June 2026 and in line with draft terms. It also reflects our view that Solaben will maintain sufficient headroom over the minimum production requirements to ensure the project can consistently meet its requirements to receive the Rinv revenue in full. We further base the outlook on view that the impact from curtailment orders will not aggravate." S&P could lower the rating if it anticipates that Solaben will have difficulty in meeting the minimum production requirements as that would translate into a lower capacity of debt repayment. This would occur if: -- The final version of the parameters is less favorable than presented in the draft, for example excluding the proposed reduction in Hmin and equivalent Uf; or -- Negative price hours increase beyond S&P's assumption, operational performance weakens, or a combination of the two. S&P could also lower the rating if curtailment orders materially impair Ro and pool revenue. S&P said, "We don't see an upgrade as likely over the next 12 months because we think market conditions will remain volatile. We think that rating upside depends on greater cash flow predictability, for which we would need to see negative price hours stabilizing." =========== R U S S I A =========== APEX INSURANCE: S&P Raises LT Fin'l. Strength Rating to 'BB' ------------------------------------------------------------ S&P Global Ratings raised to 'BB' from 'BB-' its long-term financial strength rating on Apex Insurance JSC (Apex) and Apex Life Insurance JSC (Apex Life). The outlook on both is stable. S&P said, "The upgrade reflects Apex's stronger credit profile and increased capital, as assessed by our model and its overall size. We expect the insurer to maintain capital adequacy at our 99.8% confidence level in 2025-2026. In 2024, Apex implemented International Financial Reporting Standard (IFRS) 17, which gives us greater visibility regarding profits for the insurance sector through the contractual service margin (CSM). Apex disclosed a CSM of UZS680 billion at the end of 2024. Under our capital model criteria, we consider CSM as an other-equity-like reserve. As a result, the insurer's capital adequacy improved to the 99.8% confidence level under our model in 2024 from 99.5% in 2023. Apex improved its regulatory solvency buffer to 1.5x as of Oct. 1, 2025, from 1.3x in 2024. We expect the company to maintain its regulatory solvency ratio near 1.4x-1.5x. Although Apex's total capital increased to UZS980 billion ($88 million) as of Oct. 1, 2025, from UZS777 billion ($65 million) in 2024, in accordance with local GAAP, we still consider it small in absolute terms in an international context. In addition, the insurer has a limited track record of capital planning and the treatment of the contractual service margin under IFRS 17. This moderates our assessment of its overall capital and earnings to satisfactory." Apex has continued to solidify its position as the first-largest insurer in Uzbekistan. For the first nine months of 2025, the insurer's market share, as measured by gross premium written (GPW), increased to 30% from 17% in 2022. S&P said, "However, we would like to have a better track of maintain its leading position on the market amid the recent rapid growth. We view as positive the company's reshuffling of its insurance portfolio in the past two-to-three years, which led the combined (loss and expense) ratio to improve to 81% in the first nine months of 2025 under local GAAP, compared with a market average of 100%-105%.Therefore, we anticipate the company will achieve underwriting profitability in 2025-2026 with a combined ratio close to 90%. still, we expect Apex will manage its cost base and underwriting profitability in the next two years on expected 20%-30% growth in net premiums. Premiums are almost entirely written in Uzbekistan. We expect Uzbekistan's nonlife insurance companies' growth prospects will remain vibrant in 2025-2026, supported by economic recovery and increasing uptake of insurance coverage from a very low base. Economic risks remain high, given the population's relatively low wealth, as measured by our GDP per capita, still-evolving insurance literacy, and undeveloped institutions." S&P said, "We also view as positive that the company has maintained a prudent investment strategy by placing its assets in highly liquid cash deposits and fixed income securities. The average credit quality of its portfolio was in the 'BB' category as of Sept. 30, 2025 (the highest possible credit quality given the sovereign rating level), and we expect average credit quality to remain at this level over the next 12 months. Foreign exchange exposure is limited and constitutes 2%-3% of total assets. Risk controls are adequate for the type of business Apex writes as well as for the company's size. "We continue to view Apex Life as a core subsidiary of Apex. Apex Life is closely integrated with Apex Insurance, operationally, strategically, and financially. Apex Life shares the same underwriting and claims controls as the parent and receives board oversight from Apex on investment policy and risk management practices. Apex uses it as a platform to sell policies to retail clients. Apex Life also uses the group's name and is therefore closely linked to the reputation of Apex. We think the parent would likely provide financial support if needed. "Despite improved capitalization and franchise strength, we cap our ratings on Apex and Apex Life at the level of the sovereign credit rating on Uzbekistan (BB/Stable/B) because of the company's almost-entirely domestic business base and asset structure. Therefore, even if Apex continues to strengthen its competitive position and maintains its capital and earnings profile, a further upgrade would only be possible if we were to raise the sovereign rating on Uzbekistan. "The stable outlook reflects our expectation that, over the next 12 months, Apex will maintain its solid competitive standing, which will allow it to generate robust profitability, while retaining strong capital buffers well above our 99.8% confidence level and sustaining effective risk management. "The stable outlook on Apex Life reflects that on Apex. The ratings on Apex Life are likely to move in tandem with those on Apex Insurance unless we revise our view of Apex Life's core group status." S&P could consider a negative rating action on Apex over the next 12 months if, contrary to our expectations: -- The company's capital base and capital adequacy deteriorate below 99.8% according to our capital model, due for instance to weaker-than-expected operating performance, higher-than-anticipated growth, substantial dividend payments, or investment losses, and if this is not offset by shareholder capital injections; -- Its risk management practices weaken or its investment or underwriting policy becomes more aggressive; or -- S&P takes a negative rating action on Uzbekistan. A positive rating action is unlikely in the next 12 months. One would be possible only if we raised our ratings on Uzbekistan and, at the same time, observed a substantial improvement in the group's business risk or financial risk profile. ========= S P A I N ========= ANSELMA: S&P Cuts Issue Rating on Class B Sr. Sec. Debt to 'BB-' ---------------------------------------------------------------- S&P Global Ratings lowered the S&P Underlying Rating (SPUR) on Anselma's class A debt and the issue rating on the class B senior secured debt to 'BB-', with the '3' (60%) recovery rating on the class B debt unchanged. S&P also affirmed its 'AA' issue rating on the class A senior secured debt, for which the outlook remains stable, mirroring that on monoline insurer Assured Guaranty (Europe) SA (AGE; AA/Stable/--). S&P said, "The stable outlooks on the class A SPUR and class B issue rating reflect our expectation that technical parameters will be approved well in advance of June 2026, and that the project will maintain sufficient production levels to ensure full Rinv revenues. It also reflects our expectation that the project will receive waivers for potential EoDs, with projected DSCR falling below the default trigger until the first half of 2026. "We view the draft technical parameters for the next semi-regulatory period (2026-2028), combined with approved changes to the remuneration regime, as very credit positive for Anselma because they reduce the risk of significant credit quality deterioration by supporting projects' ability to receive their return on investments (Rinv, representing 80%-85% of project revenues). "However, negative electricity prices remain a key credit risk, as production is excluded from remuneration during intervals of six or more consecutive negative price hours, and we expect those periods to increase significantly, particularly in the short-term, on the back of expected substantial increases in solar installed capacity over 2026-2027, as they doubled to 16%-17% of project production in 2025." Consequently, Anselma's cash flows are not entirely shielded from downside risk due to negative price hours, which can be magnified by lower-than-expected production due to technical or operational issues, or reduced irradiation. In 2021, Anselma issued EUR125 million class A and EUR77.963 million class B senior secured, pari passu, fully amortizing, fixed-rate bonds due Dec. 31, 2038. The debt is serviced through a combination of regulated cash flows from the operations of 18 solar photovoltaic (PV) plants and proceeds from the sale of energy in the pool market. Situated throughout Spain and commercially operational since 2007 or 2008, each plant benefits from specific remuneration regimes for renewable projects. The plants have a nominal capacity totaling 35.34 megawatts (MW) and consist of 92% crystalline silicon modules and 8% cadmium telluride thin film modules provided by 17 different manufacturers. The inverters are 87.4% central and 12.6% string, provided by 10 different manufacturers. Operations and maintenance (O&M) services are provided by Eiffage Energia S.L.U. (Eiffage), while Verbund Green Power Iberia S.L.U. (Verbund GP-I) operates as asset manager. S&P said, "We see the proposed technical parameters for the 2026-2028 semi-regulatory period as very credit supportive as they mitigate potential cash flow shortfalls in the event of increased negative hours or operational issues. However, even with these new rules, plants still face some financial risks. On Nov. 7, 2025, the draft parameters were published, proposing a 25% reduction in the minimum production threshold and a 60% reduction in the Uf (umbral de funcionamiento) threshold--the level below which plants receive no Rinv. This increases plants' headroom to absorb potential negative hours or operational disruptions while still receiving the full amount of remuneration, to about 45%-50% of our expected gross production (from 35%-25% under the previous parameters, depending on the plant). Operational issues that can result in lower relevant production include lower irradiation, technical issues, and even cable theft. The significant reduction in the Uf threshold under the proposed parameters further reduces the extent of cash shortfalls if the full remuneration (Rinv) is not achieved. This has allowed Anselma to avoid a more severe rating transition that could have occurred on under the existing parameters. "We believe the proposed reduction in the minimum production threshold does not entirely shield project cash flows from downside risk, as it may not be enough to offset the potential increase in negative price hours over the coming years. The trend of negative hours has proved highly unpredictable, with about 60%-70% of plants' gross production in May 2025 not accounting for the minimum production threshold due to these negative price hours. We believe this remains a key credit risk because when energy is produced in intervals of six or more negative electricity price hours, it is not recognized under the remuneration framework, thus eroding the ability to receive the full Rinv payments (about 80%-85% of a project's revenues). The risk is further amplified by lower-than-expected actual production, for example due to operational issues. In fact, solar plants' output has been periodically affected by thefts, inverter failures, and damages caused by adverse weather conditions, with lower irradiation levels significantly affecting production over the last 24 months. We incorporate this risk into our business risk assessment, which led us to recalibrate both the SPUR on Anselma's class A debt and the issue rating on the class B debt, lowering them to 'BB-' from 'BB'. "We expect negative electricity prices in Spain will likely increase significantly, particularly in the short term, due to additional solar capacity and limited demand growth. We estimate that negative price hours may have eroded about 16% of Anselma's gross production in 2025, up from about 8%-9% in 2024. In our view, this upward trend will continue as more renewable capacity is added to the Spanish electricity network--S&P Global Energy estimates that 7.3GW of solar power will be connected to the grid over 2026, followed by 5.7GW in 2027--and demand picks up. We acknowledge significant uncertainty over the pace of this growth. The main reason behind negative electricity prices is an excess of supply versus demand, and this imbalance is typically accentuated during the second quarter of the year, when the renewable sources are generally strong (solar, wind and hydro) while demand is seasonally subdued as temperatures in Spain tend to be mild. Although batteries installation and the gradual electrification of the consumptions--also supported by the data centres development--may ease such risk in the medium-long term, we believe their development over at least the next 24-36 months will not be enough to counterbalance the excess supply coming from new solar installations." The Council of Ministers' approval on Oct. 14 of material changes to the regulatory framework for Spanish renewables has also increased plants' headroom against minimum production requirements. The Royal Decree 917/2025 established that energy delivered when prices are zero for six or more consecutive hours as well as production affected by curtailment orders imposed by the system operator now count toward a plant's minimum production threshold, retrospectively from Jan. 1, 2024. S&P said, "We anticipate Anselma's retroactive compensation will be very limited, as its plants were able to meet the minimum production levels and have not yet suffered any meaningful curtailments. At the same time, we see higher curtailment risk for PV plants in the future as the royal decree also introduced a new dispatch order that gives priority to all renewable electricity generation. Although curtailment does not affect Rinv remuneration, it can reduce market revenues and remuneration on operations (Ro). We expect this trend to continue in the coming years, with curtailment orders likely becoming more frequent as new solar capacity is added to the grid, further exacerbating the imbalance between electricity demand and supply during daylight hours. We think Anselma's risk is lower than its peers, given the modest size of its plants." S&P said, "We expect captured electricity prices for 2026-2028 will be lower than the government's estimates used to determine the Ro under the current draft technical parameters. If the final parameters are finalized as proposed, we expect Anselma will be under-remunerated also over the 2026-2028 semi-regulatory period, although to a lesser extent than the current period. This is because we project the DSCR will average above 1.15x from December 2026 (from 0.92x in December 2025). We expect solar captured prices will continue to decrease over the coming years, at about EUR20/MWh-EUR25/MWh over 2026-2028. This is significantly below the government's estimated average of EUR40/MWh under the proposed parameters--a contrast to the EUR33/MWh average solar capture price during 2025. From 2029, we expect the government's captured electricity price assumptions and the actual prices to align more closely, leading to an improved DSCR to above 1.20x. "As the 2023-2025 semi-regulatory period is about to close, we expect the project will post a DSCR below 1.05x for the next two payment dates. This mainly reflects significant under-remuneration suffered by the project over the last three years, where solar captured prices were well below government estimates. As result, we expect the project will be in an event of default until June 2026. This follows the June 2025 DSCR of 0.84x, which was waived by the controlling creditor on June 27, 2025. Given the constructive relationship between Anselma and the controlling creditor, we expect the EoDs for the next two payment dates to be waived on time. "The stable outlook on our issue rating on Anselma's class A notes mirrors the outlook on the guarantor, AGE. "The stable outlook on the class A SPUR and class B issue rating reflect our expectation that technical parameters will be approved well in advance of June 2026 and in line with draft terms. It also reflects our view that Anselma will maintain sufficient production levels to ensure the project receives full Rinv revenues. It further reflects our expectation that the project will receive waivers for potential EoDs on time, despite the DSCR falling below the default trigger until the first semester of 2026. "We could lower our issue rating on the class A notes or revise the outlook to negative if we take a similar action on AGE. "We could lower the SPUR on the class A notes and the issue rating on the class B notes if negative price hours increase over the coming months to an extent that pose a threat to the receipt of full Rinv." This could occur if one or more of the following materializes: -- The final version of the technical parameters includes less favorable production thresholds compared with the one published on Nov. 7, 2025, or if the parameters are not finalized well in advance of June 2026. -- Negative price hours increase beyond our assumption, the project shows operational underperformance, or a combination of the two. S&P could also lower the rating if strong curtailment orders materially impair Ro and market revenues. S&P could raise its issue rating on the class A notes or revise our rating outlook to positive if S&P takes a similar action on AGE. S&P said, "We see an upgrade on the class A SPUR and the issue rating on the class B notes as unlikely over the next 12 months as we believe market conditions will remain volatile. A rating upside would occur if we saw an improvement in market conditions, with negative price hours and curtailments unlikely to pose a threat to project cash flows." =========================== U N I T E D K I N G D O M =========================== CLAYTON EQUIPMENT: Begbies Traynor Appointed as Administrators -------------------------------------------------------------- Clayton Equipment Limited was placed into administration proceedings in the Business and Property Courts of England and Wales, Insolvency and Companies List (ChD), Court No. CR-2025-BHM-000650, and Gareth Prince and Mark Malone of Begbies Traynor (Central) LLP were appointed as administrators on Dec. 8, 2025. Clayton Equipment Limited specialized in the manufacture of railway locomotives and rolling stock. Its registered office is Unit 2a, Second Avenue, Centrum 100, Burton on Trent, Staffordshire, DE14 2WF. The administrators can be reached at: Gareth Prince Mark Malone Begbies Traynor (Central) LLP 11th Floor, One Temple Row Birmingham, B2 5LG For further information contact: Lucy Corbett Begbies Traynor (Central) LLP Tel: 0121 200 8150 Email: birmingham@btguk.com MORTIMER BTL 2023-1: S&P Affirms 'BB+ (sf)' Rating on X-Dfrd Notes ------------------------------------------------------------------ S&P Global Ratings affirmed its 'AAA (sf)' credit rating on Mortimer BTL 2023-1 PLC's class A notes, 'AA (sf)' rating on the class B notes, 'A+ (sf)' rating on the class C-Dfrd notes, 'BBB+ (sf)' rating on the class D-Dfrd notes, 'BBB- (sf)' rating on the class E-Dfrd notes, and 'BB+ (sf)' rating on the class X-Dfrd notes. The affirmations reflect S&P's full analysis of the most recent information and the transaction's current structural features. Since closing, the weighted-average foreclosure frequency (WAFF) has slightly increased at all rating levels, reflecting higher arrears in the pool. Over the same period, the weighted-average loss severity (WALS) has decreased at all rating levels, driven by updates to our under- and overvaluation assessments for the U.K. residential real estate market. Consequently, the required credit coverage has declined across the 'Aaa' to 'BBB' rating levels, remained the same at the 'BB' rating level, and slightly increased at the 'B' rating level. As of August 2025, total arrears stood at 0.93%, while arrears of 90 days or more were 0.64% (both zero at closing). S&P said, "Both metrics are below our U.K. buy-to-let (BTL) post-2014 RMBS index, which reported total arrears of 3.08% and 90+ day arrears of 1.64% as of the third quarter of 2025. As of the same date, the three-month constant prepayment rate (CPR) was 33.11% as compared with our U.K. BTL post-2014 RMBS index of 14.56%. This trend is consistent with the expected reversion profile at closing and has reduced the pool factor to 57.66%, as of August 2025, following the main reversion spikes in 2024 and 2025. We expect prepayment rates to continue decreasing until 2028, when the next major spike in reversions will occur (45.87% of the current pool as of August 2025). There have been no losses since closing." Credit analysis results Rating level WAFF (%) WALS (%) Credit coverage (%) AAA 21.84 39.94 8.72 AA 14.81 33.51 4.96 A 11.29 22.71 2.56 BBB 7.76 16.42 1.27 BB 4.24 12.05 0.51 B 3.36 8.23 0.28 WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. Since closing, S&P has observed a high level of prepayments due to interest revision dates, with 50.69% of the original pool's interest revision dates occurring throughout 2023-2025. There has also been a lower net inflow from the swap because of increasing Sterling Overnight Index Average (SONIA), while third-party fees (including audit fees) in the transaction have increased to GBP160,504 in the 12 months to September 2025 (as compared with GBP16,558 from closing to September 2024). These factors have all resulted in a decrease in excess spread in this transaction. S&P said, "Our credit and cash flow analysis indicates the available credit enhancement for the class A to D-Dfrd notes remains commensurate with the currently assigned ratings. These classes of notes also remained robust to our cash flow sensitivities including increased defaults and higher prepayments. We therefore affirmed our 'AAA (sf)' rating on the class A notes, 'AA (sf)' rating on the class B notes, 'A+ (sf)' rating on the class C-Dfrd notes, and 'BBB+ (sf)' rating on the class D-Dfrd notes. "The class E-Dfrd and X-Dfrd notes face shortfalls in our standard cash flow analysis, at their current rating levels, in the high CPR scenarios. However, as we expect the CPR to decrease, we lowered our high CPR assumption for these classes of notes, considering our current U.K. BTL post-2014 RMBS prepayment index and reflecting our expectation that prepayment rates are likely to fall until 2028, consistent with the fixed-to-floating rate reversion profile. In this run, the class E-Dfrd and X-Dfrd pass at or above their current rating levels. Credit enhancement has slowly built up for the class E-Dfrd notes (0.06% at closing to 0.91% as at August 2025) due to the general reserve fund, which has been building up since closing and currently stands at its target level of GBP2.14 million. The class X-Dfrd notes have paid down significantly, to GBP1.21 million as of August 2025 from GBP5.12 million at closing. While excess spread has reduced, it remains positive, and the turbo feature in this transaction occurs after the payment of class X-Dfrd interest and principal. Considering all of these factors, we affirmed our 'BBB- (sf)' rating on the class E-Dfrd notes and 'BB+ (sf)' rating on the class X-Dfrd notes." Counterparty risk does not constrain the ratings as the transaction is in line with S&P's counterparty criteria. Mortimer BTL 2023-1 PLC is backed by a pool of first-lien BTL mortgage loans secured on properties in England, Wales, and Scotland. PETROFAC LIMITED: Statement of Proposals Available -------------------------------------------------- Pursuant to Paragraph 49(6) of Schedule B1 to the Insolvency Act 1986 and Rule 2.33(7) of the Insolvency Rules 1986 (as amended), that members of Petrofac Limited can write to the Joint Administrators at: Teneo Financial Advisory Limited The Colmore Building 20 Colmore Circus Queensway Birmingham, B4 6AT or by e-mail to: PetrofacShareholders@teneo.com, for a copy of the Joint Administrators' Statement of Proposals for achieving the purpose of the Administration, which will be supplied free of charge. Petrofac Limited was placed into administration proceedings in the High Court of Justice, The Business & Property Courts of England and Wales, Insolvency and Companies List (ChD), Court No. CR-2025-007516, and James Robert Bennett and Matthew James Cowlishaw of Teneo Financial Advisory Limited were appointed as joint administrators on Oct. 28, 2025. Its registered office is at c/o Teneo Financial Advisory Limited, The Colmore Building, 20 Colmore Circus Queensway, Birmingham, B4 6AT. Its principal trading address is First Floor, Pollen House, 10–12 Cork Street, London, W1S 3NP. The joint administrators can be reached at: James Robert Bennett Matthew James Cowlishaw Teneo Financial Advisory Limited The Colmore Building 20 Colmore Circus Queensway Birmingham, B4 6AT Further details contact: Joint Administrators Email: PetrofacShareholders@teneo.com T. HAYSELDEN: FRP Hodgett Appointed as Administrators ----------------------------------------------------- T. Hayselden (Doncaster) Limited was placed into administration proceedings in the High Court of Justice, Business and Property Courts in Leeds, Insolvency and Companies List (ChD), Court No. CR-2025-001194, and Mark Hodgett and David Acland of FRP Advisory Trading Limited were appointed as joint administrators on Dec. 10, 2025. T. Hayselden (Doncaster) Limited specialized in the sale of new and used cars. Its registered office is at York Road, Doncaster, DN5 8AN, to be changed to Minerva, 29 East Parade, Leeds, LS1 5PS. Its principal trading address is York Road, Doncaster, DN5 8AN. The joint administrators can be reached at: Mark Hodgett David Acland FRP Advisory Trading Limited Minerva 29 East Parade Leeds, West Yorkshire, LS1 5PS Further details contact: The Joint Administrators Tel: 0113 831 3555 Alternative contact: Usman Khan Email: cp.leeds@frpadvisory.com ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter-Europe is a daily newsletter co- published by Bankruptcy Creditors' Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Marites O. Claro, Rousel Elaine T. Fernandez, Joy A. Agravante, Julie Anne L. Toledo, Ivy B. Magdadaro, and Peter A. Chapman, Editors. Copyright 2025. All rights reserved. ISSN 1529-2754. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR Europe subscription rate is US$775 per half-year, delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are US$25 each. For subscription information, contact Peter Chapman at 215-945-7000. * * * End of Transmission * * *