260722.mbx

260722.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, July 22, 2026, Vol. 27, No. 145 Headlines A R M E N I A ARMENIA: Fitch Affirms 'BB-' Long-Term IDR, Outlook Positive F R A N C E GEMDOUBS SAS: Besancon Ct. Extends Receivership Observation Period I R E L A N D ARCANO EURO IV: S&P Assigns B- (sf) Rating to Class F Notes AVOCA CAPITAL X: Fitch Affirms 'B+sf' Rating on Class F-R-R Notes BNPP AM 2021: Fitch Affirms 'B-sf' Rating on Class F Notes ELMWOOD EUROPEAN 2: S&P Assigns B- (sf) Rating to Class F Notes EURO-GALAXY III: Fitch's Outlook on 'B+' F-RRR Notes Rating Now Neg NORTHWOODS CAPITAL 23: S&P Lowers Class E Notes Rating to 'B (sf)' PALMER SQUARE 2024-2: Fitch Affirms 'BB+sf' Rating on Class E Notes ST. PAUL XII: Fitch Affirms 'B+sf' F Notes Rating, Outlook Now Neg. I T A L Y SCIL IV: S&P Alters Outlook to Negative, Affirms 'BB-' ICR L U X E M B O U R G MILLICOM INTERNATIONAL: Fitch Affirms 'BB+' IDR, Outlook Stable N E T H E R L A N D S DUTCH MORTGAGE 2024-1: S&P Affirms 'CCC(sf)' rating on Cl. F Notes R U S S I A UZAUTO MOTORS: Fitch Hikes Long-Term IDR to 'BB', Outlook Stable S E R B I A SERBIA: Fitch Affirms 'BB+' Long-Term IDR, Outlook Positive S P A I N IDUN S.A.R.L: Fitch Assigns 'BB+sf' Final Rating to Class E Notes U N I T E D K I N G D O M NO. 8 SOUND: Verulam Advisory Appointed as Joint Liquidators SAFE DIG UTILITIES: RSM UK Appointed as Administrators SHAWBROOK MORTGAGE 2022-1: Fitch Affirms CCsf Rating on Cl. F Notes UK LOGISTICS 2026-3: S&P Assigns BB- (sf) Rating to Class E Notes - - - - - ============= A R M E N I A ============= ARMENIA: Fitch Affirms 'BB-' Long-Term IDR, Outlook Positive ------------------------------------------------------------ Fitch Ratings has affirmed Armenia's Long-Term Issuer Default Ratings (IDRs)at 'BB-' with a Positive Outlook. The Positive Outlook reflects Armenia's higher international reserves, continued solid growth that will support debt stabilisation over the medium term, and prospects for improvement in longstanding geopolitical risks. The US-sponsored peace framework with Azerbaijan has significantly reduced near-term military escalation risks, but lingering uncertainty remains regarding the path to successful conclusion, including a potential constitutional referendum. Additionally, increased diplomatic tensions with Russia creates risks for the Armenian economy, particularly given its significant dependence on Russian energy imports. Key Rating Drivers Election Outcome Supports Policy Continuity: Prime Minister Pashinyan's Civil Contract Party won the June 2026 elections, signalling broad policy continuity, including closer relations with the West, but fell short of the two-thirds majority needed to unilaterally amend the constitution. Removing constitutional references to Karabakh is a condition of the treaty with Azerbaijan and will likely require a referendum, possibly in 2027, posing a source of lingering uncertainty in the peace process. Tensions with Russia: Russia is Armenia's largest trade partner and supplies over 80% of natural gas imports on preferential terms. Russia accounts for 35% of Armenia's goods exports and recently imposed import and transit restrictions on Armenian food products and threatened to end preferential energy and rough diamond trade in response to Armenia's EU accession path. As gas meets 61% of energy needs, a supply cutoff or price increase could negatively affect macroeconomic, fiscal, and external balances. Strong Growth Prospects: Armenia's economy grew 7.1% in 2025 after several years of similarly strong growth. Fitch projects real GDP growth to moderate to 5.2% in 2026 but remain well above the 'BB' median of 2.9%. Armenia's low reliance on oil limits its exposure to the impact of the Iran war, but the impact of Russian import restrictions remains uncertain. The government and the EU are offering financial support and tariff relief to exporters to mitigate repercussions. Fitch projects medium-term growth to stabilise at around 5% as recent supply-side shocks subside, but supported by the dynamic ICT sector and the opening of the Amulsar gold mine. Several large-scale infrastructure investment projects could provide further long-term upside including the Trump Route for International Peace and Prosperity, a corridor connecting Azerbaijan to its Nakhchivan exclave and then Turkiye. Plans for a new AI data centre have been scaled up, with investment potentially reaching 12% of GDP. Sustained implementation of the peace deal and reopening of the Turkiye border could further boost growth through higher investment, exports and employment. Near-Term Inflation Pressures: Fitch expects inflation to average 4.4% in 2026 before gradually returning to the 3% target. The upward inflation trend predates the Iran war, driven by food, services, and universal healthcare costs. Russian import restrictions could increase the domestic supply of some goods, with a disinflationary effect. Fitch expects the Central Bank of Armenia (CBA) to temporarily raise its main policy rate by 25bp to 6.75%. Fiscal Overperformance, but Risks Persist: The 2025 general government deficit was 3.7% of GDP, below the budget target but above the 'BB' median of 2.8%. Fitch forecasts a slightly higher deficit in 2026, in line with the government's revised budget target. Current expenditure growth remains high due to rising health costs driven by the rollout of universal health care and higher pensions. This is partly offset by declining defence and security spending. Over the medium term, Fitch forecasts that a reduction of the deficit to 3.4% of GDP by 2028, above the government's medium-term deficit target of 2.8% of GDP. Broadly Stable Debt: General government debt declined to 47.2% of GDP at end-2025, below the 'BB' median of 51.6%. Fitch expects the debt ratio to remain broadly stable, as strong nominal GDP growth offsets small primary deficits, with the possibility for some volatility as a result of currency moves. Fitch expects financing needs in 2026-2028 to be met through domestic sources alongside bilateral and multilateral lenders. Improved External Buffers Despite Weaker External Position: The current account deficit widened to 7.2% of GDP in 2025 from 4.6%, more than double the 'BB' median. This reflected stronger domestic demand, normalising transit trade, and weaker travel receipts. Part of the current account financing is related to some investments funded by external bank borrowing, but the participation of international financial institutions as funding sources helps mitigate risks. Fitch projects the current account deficit will ease in 2026-2028 but remain above those of peers. FX reserves were a record USD5.9 billion at end-May, as the CBA bought US dollars in the domestic market. High imports need mean that reserve coverage of current external payments will remain at 3.6 months by 2028, below the 'BB' median of 4.5 months. Banking Sector Resilience: Private credit growth remained high at 21.7% yoy in 1Q26. Financial stability risks are mitigated by banks' strong capital and liquidity positions. Profitability has remained robust despite the wind-down of extraordinary financial inflows from Russia, providing an additional buffer against potential shocks. Deposit dollarisation continues to decline, having reached 42.4% in May, as a result of regulatory measures, greater confidence in the dram, and currency appreciation. ESG - Governance: Armenia has a medium World Bank Governance Indicators (WBGI) ranking at 45.5, reflecting a history of geopolitical conflict (including the 2023 attack on Karabakh), a sound level of rights for participation in the political process, moderate institutional capacity, an established rule of law and a moderate level of corruption. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Structural: Geopolitical risks that undermine political and economic stability; for example, derailment of the current peace process with Azerbaijan or escalation of tensions with Russia. - External Finances: Increased external vulnerabilities due to sustained large current account deficits or a reversal of improvements in FX reserves. - Public Finances: Macroeconomic or policy developments that put general government debt on an upward path. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Structural: A sustained decline in geopolitical risks; for example, as a result of meaningful progress in the peace process with Azerbaijan and easing of tensions with Russia. -Public Finances: Continuation of a fisal stance that supports a stable or declining path of general government debt. - Macro: Continuation of high growth rates that lift GDP per capita and do not result in macroeconomic imbalances. Sovereign Rating Model (SRM) and Qualitative Overlay (QO) Fitch's proprietary SRM assigns Armenia a score equivalent to a rating of 'BB' on the Long-Term Foreign-Currency (LTFC) IDR scale. Fitch's sovereign rating committee adjusted the output from the SRM to arrive at the final LTFC IDR by applying its QO, relative to SRM data and output, as follows: - Structural: -1 notch to reflect lingering geopolitical risks, including heightened tensions with Russia and the nascent peace process with Azerbaijan, which could negatively impact current positive trends for growth, public and external finances. Fitch's SRM is the agency's proprietary multiple regression rating model that employs 18 variables based on three-year centred averages, including one year of forecasts, to produce a score equivalent to a LTFC IDR. Fitch's QO is a forward-looking qualitative framework designed to allow for adjustment to the SRM output to assign the final rating, reflecting factors within its criteria that are not fully quantifiable and/or not fully reflected in the SRM. Debt Instruments: Key Rating Drivers Senior Unsecured Debt Equalised: The senior unsecured long-term debt ratings are equalised with the applicable Long-Term IDR, as Fitch assumes recoveries will be 'average' when the sovereign's Long-Term IDR is 'BB-' and above. No Recovery Ratings are assigned at this rating level. Country Ceiling The Country Ceiling for Armenia is 'BB', one notch above the LTFC IDR. This reflects moderate constraints and incentives, relative to the IDR, against capital or exchange controls being imposed that would prevent or significantly impede the private sector from converting local currency into foreign currency and transferring the proceeds to non-resident creditors to service debt payments. Fitch's Country Ceiling Model produced a starting point uplift of +1 notch above the IDR. Fitch's rating committee did not apply a qualitative adjustment to the model result. Climate Vulnerability Signals The results of its Climate.VS screener did not indicate an elevated risk for Armenia. ESG Considerations Armenia has an ESG Relevance Score of '5' for Political Stability and Rights as WBGI have the highest weight in Fitch's SRM and are therefore highly relevant to the rating and a key rating driver with a high weight. As Armenia has a percentile rank below 50 for the respective Governance Indicator, this has a negative impact on the credit profile. Armenia has an ESG Relevance Score of '5' for Rule of Law, Institutional & Regulatory Quality and Control of Corruption as WBGI have the highest weight in Fitch's SRM and are therefore highly relevant to the rating and are a key rating driver with a high weight. As Armenia has a percentile rank below 50 for the respective Governance Indicators, this has a positive/negative impact on the credit profile. Armenia has an ESG Relevance Score of '4[+]' for Human Rights and Political Freedoms as the Voice and Accountability pillar of the WBGI is relevant to the rating and a rating driver. As Armenia has a percentile rank above 50 for the respective Governance Indicator, this has a positive impact on the credit profile. Armenia has an ESG Relevance Score of '4[+]' for Creditor Rights as willingness to service and repay debt is relevant to the rating and is a rating driver for Armenia, as for all sovereigns. As Armenia has a record of 20+ years without a restructuring of public debt as captured in its SRM variable, this has a positive impact on the credit profile. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. Entity/Debt Rating Prior ----------- ------ ----- Armenia LT IDR BB- Affirmed BB- ST IDR B Affirmed B LC LT IDR BB- Affirmed BB- LC ST IDR B Affirmed B Country Ceiling BB Affirmed BB senior unsecured LT BB- Affirmed BB- Senior Unsecured-Local currency LT BB- Affirmed BB- =========== F R A N C E =========== GEMDOUBS SAS: Besancon Ct. Extends Receivership Observation Period ------------------------------------------------------------------ Valeria Bub of Euwid Pulp and Paper reports that the Commercial Court of Besancon has extended the receivership observation period for Gemdoubs SAS by another six months, allowing the French recycled containerboard producer to continue restructuring under court supervision. The extension reflects ongoing efforts to stabilize the company while administrators evaluate its prospects for recovery. As part of the restructuring process, Gemdoubs will also undergo a management change in August 2026. The transition is intended to provide new leadership as the company advances negotiations with creditors and implements operational improvements, notes the report. With the observation period now extended, Gemdoubs has additional time to strengthen its financial position, pursue restructuring initiatives, and determine the most appropriate path toward long-term viability under the supervision of the French commercial court, according to Euwid Pulp and Paper. About Gemdoubs SAS Gemdoubs SAS is a France-based manufacturer of recycled containerboard, producing packaging paper from recovered fiber for use by corrugated box manufacturers. Headquartered in Novillars, eastern France, the company operates a paper mill that supplies recycled containerboard to customers across France and other European markets. Its operations support the circular economy by converting recovered paper into sustainable packaging materials. ============= I R E L A N D ============= ARCANO EURO IV: S&P Assigns B- (sf) Rating to Class F Notes ----------------------------------------------------------- S&P Global Ratings assigned its credit ratings to Arcano Euro CLO IV DAC's class A, B, C, D, E, and F notes. At closing, the issuer also issued EUR35.38 million unrated subordinated notes. The reinvestment period will be approximately 4.5 years, while the noncall period will be 1.5 years after closing. Under the transaction documents, the rated notes will pay quarterly interest unless there is a frequency switch event. Following this, the notes will switch to semiannual payment. 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. Portfolio benchmarks S&P Global Ratings' weighted-average rating factor 2,723.33 Default rate dispersion 444.03 Weighted-average life (years) 5.20 Obligor diversity measure 116.88 Industry diversity measure 23.50 Regional diversity measure 1.22 Transaction key metrics Total par amount (mil. EUR) 450 Defaulted assets (mil. EUR) 0 Number of performing obligors 127 Portfolio weighted-average rating derived from S&P's CDO evaluator B 'CCC' category rated assets (%) 0.00 Target 'AAA' weighted-average recovery (%) 36.20 Target weighted-average spread net of floors (%) 3.52 Target weighted-average coupon (%) 5.01 Rationale S&P said, "Our ratings reflect our assessment of the collateral portfolio's credit quality, which has a weighted-average rating of 'B'. "The portfolio is well diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans and bonds. Therefore, we conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "In our cash flow analysis, we used the EUR450.0 million target par amount, the target weighted-average spread of 3.52%, the target weighted-average coupon of 5.01%, and the target weighted-average recovery rates. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our current counterparty criteria. "Under our structured finance sovereign risk criteria, the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. "The transaction's legal structure and framework is bankruptcy remote, in line with our legal criteria. "Our credit and cash flow analysis indicates that the available credit enhancement for the class B, C, and D notes could withstand stresses commensurate with higher ratings than those assigned. However, as the CLO will be in its reinvestment phase starting from the effective date, during which the transaction's credit risk profile could deteriorate, we have capped our ratings assigned to the notes." The class A and E notes can withstand stresses commensurate with the assigned ratings. The class F notes' current break-even default cushion is negative at the assigned rating. S&P said, "Nevertheless, based on the portfolio's actual characteristics and additional overlaying factors, including our long-term corporate default rates and recent economic outlook, we believe this class is able to sustain a steady-state scenario, in accordance with our criteria." S&P's analysis further reflects several factors, including: -- The class F 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. -- S&P's model-generated portfolio default risk, which is at the 'B-' rating level at 24.79% (for a portfolio with a weighted-average life of 5.20 years) versus 16.63% if it was to consider a long-term sustainable default rate of 3.2% for 5.20 years. -- Whether the tranche is vulnerable to nonpayment in the near future. -- If there is a one-in-two chance for this note to default. -- If S&P envisions this tranche to default in the next 12-18 months. S&P said, "Following this analysis, we consider that the available credit enhancement for the class F notes is commensurate with the assigned 'B- (sf)' rating. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe that our ratings are commensurate with the available credit enhancement for all rated classes of notes. "In addition to our standard analysis, we have also included the sensitivity of the ratings on the class A to E notes, based on four hypothetical scenarios. "As our ratings analysis makes additional considerations before assigning ratings in the 'CCC' category, and we would assign a 'B-' rating if the criteria for assigning a 'CCC' category rating are not met, we have not included the above scenario analysis results for the Class F Notes." Environmental, social, and governance S&P regards 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 S&P's ESG benchmark for the sector, no specific adjustments have been made in our rating analysis to account for any ESG-related risks or opportunities. Arcano Euro CLO IV DAC 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. Arcano Loan Advisors S.L. manages the transaction. Ratings Amount Credit Class Rating* (mil. EUR) enhancement (%) Interest rate§ A AAA (sf) 276.70 38.51 Three/six-month EURIBOR plus 1.29% B AA (sf) 49.50 27.51 Three/six-month EURIBOR plus 1.85% C A (sf) 27.00 21.51 Three/six-month EURIBOR plus 2.10% D BBB- (sf) 33.80 14.00 Three/six-month EURIBOR plus 3.00% E BB- (sf) 21.35 9.26 Three/six-month EURIBOR plus 5.50% F B- (sf) 12.40 6.50 Three/six-month EURIBOR plus 8.83% Sub notes NR 35.38 N/A N/A *The ratings assigned to the class A and B notes address timely interest and ultimate principal payments. The ratings assigned to the class C, D, E, and F notes address ultimate interest and principal payments. §The payment frequency 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. AVOCA CAPITAL X: Fitch Affirms 'B+sf' Rating on Class F-R-R Notes ----------------------------------------------------------------- Fitch Ratings has affirmed Avoca Capital CLO X DAC's notes and removed them from Under Criteria Observation, as detailed below. Entity/Debt Rating Prior ----------- ------ ----- Avoca Capital CLO X DAC A-R-R XS2305547908 LT AAAsf Affirmed AAAsf B-1-R-R XS2305547817 LT AA+sf Affirmed AA+sf B-2-R-R XS2305548112 LT AA+sf Affirmed AA+sf C-R-R XS2305548542 LT A+sf Affirmed A+sf D-R-R XS2305548385 LT BBB+sf Affirmed BBB+sf E-R-R XS2305548898 LT BB+sf Affirmed BB+sf F-R-R XS2305549276 LT B+sf Affirmed B+sf Transaction Summary Avoca Capital CLO X DAC is a cash flow CLO comprising mostly senior secured obligations. The transaction is actively managed by KKR Credit Advisors (Ireland) and exited its reinvestment period on 15 January 2026. KEY RATING DRIVERS CLO Criteria Update: The affirmations and Stable Outlooks primarily reflect the combined effect of Fitch's updated CLOs and Corporate CDOs Rating Criteria published on 1 June 2026 and portfolio performance. The positive impact from the updated criteria, which brought about an increase in the weighted average recovery rate to 65.1% from 61.4%, was offset by a deterioration in the par position. The transaction is currently 1.59% below par (calculated as the current par difference below the reinvestment target par), down from 0.58% below par at 30 May 2025. Deviation from MIRs: The class B-1-R-R and B-2-R-R notes' ratings are one notch below the model-implied rating due to a limited cushion against their break-even default rates at a higher rating. All notes have sufficient default-rate cushions to support their current ratings and withstand potential deterioration in the credit quality of the portfolio at their ratings. Transaction Out of Reinvestment Period: The transaction exited its reinvestment period in January 2026 and the senior notes started to amortise on the last payment date. According to the latest trustee report dated 29 May 2026, the transaction is breaching the Fitch minimum weighted average rating factor test, Fitch minimum weighted average spread test, the weighted average life test and a test from another rating agency. The manager is allowed to reinvest unscheduled principal proceeds and sale proceeds from credit risk and credit improved obligations on a maintain or improve basis. The test failures are marginal and, if cured, may allow the manager to trade more actively. Fitch assumed in its upgrade analysis that the manager will resume reinvesting and tested the ratings for upgrades based on a stressed portfolio, across the Fitch test matrices set out in the documentation. Performance Within Rating Case: Exposure to assets with a Fitch-derived rating of 'CCC+' or lower is 4.6%, according to the trustee report, and obligors with a Fitch-derived rating on Negative Outlook account for 14.7%. The portfolio includes two defaulted obligations with a total notional amount of EUR3.1 million. 'B'/'B-' Portfolio: Fitch assesses the average credit quality of the underlying obligors at 'B'/'B-'. The weighted average factor of the current portfolio is 25.5 as calculated by Fitch under its latest criteria. High Recovery Expectations: Senior secured obligations comprise 99.9% of the portfolio. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch-calculated weighted average recovery rate of the current portfolio is 65.1%. Diversified Portfolio: The portfolio is well-diversified across obligors, countries and industries. The top 10 obligor concentration, as calculated by Fitch, is 11.1%, and no obligor represents more than 1.4% of the portfolio balance. Exposure to the three largest Fitch-defined industries is 29.9% as calculated by Fitch. Fixed-rate assets as reported by the trustee are at 2.5%, against the limit of 5%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Based on the current portfolio, downgrades may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of default and portfolio deterioration. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades may occur on stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Avoca Capital CLO X DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. BNPP AM 2021: Fitch Affirms 'B-sf' Rating on Class F Notes ---------------------------------------------------------- Fitch Ratings has affirmed BNPP AM Euro CLO 2021 DAC's notes and removed them from Under Criteria Observation. Entity/Debt Rating Prior ----------- ------ ----- BNPP AM Euro CLO 2021 DAC A XS2345036938 LT AAAsf Affirmed AAAsf B-1 XS2345037076 LT AA+sf Affirmed AA+sf B-2 XS2345037316 LT AA+sf Affirmed AA+sf C XS2345037589 LT A+sf Affirmed A+sf D XS2345037662 LT BBB+sf Affirmed BBB+sf E XS2345038124 LT BB+sf Affirmed BB+sf F XS2345038041 LT B-sf Affirmed B-sf Transaction Summary BNPP AM Euro CLO 2021 DAC is a cash flow CLO comprising mostly senior secured obligations. The transaction closed in June 2021, is actively managed by BNP Paribas Asset Management Europe and exited its reinvestment period in September 2025. Reinvestment is subject to the reinvestment criteria. KEY RATING DRIVERS CLO Criteria Update: The affirmations incorporate the combined effect of Fitch's updated CLOs and Corporate CDOs Rating Criteria published on 1 June 2026 and portfolio performance. The positive impact from the updated criteria, which brought about an increase in the weighted average recovery rate to 65.7% from 62.2%, was offset by deteriorating performance metrics. Performance Deterioration: Exposure to assets with a Fitch-derived rating of 'CCC+' or lower has risen to 8.0% from 6.8% at the last review in April 2026, according to the latest trustee report dated 3 June 2026. However, all classes of notes have retained sufficient buffers to support their current ratings and should be capable of absorbing further losses in the portfolio. This is reflected in the affirmations and Stable Outlooks on all notes. The transaction is currently 2.1% below par, calculated by Fitch as the current par difference over the original target par. The portfolio comprises one defaulted asset amounting to EUR2.2 million. Par losses, and the number and amount of defaulted assets, are unchanged from the previous review, which was based on the trustee report dated 4 March 2026. B'/'B-' Portfolio: Fitch assesses the average credit quality of the underlying obligors at 'B'/'B-'. The weighted average rating factor of the current portfolio is 25.7 as calculated by Fitch under its latest criteria. About 17.3% of the portfolio is currently on Negative Outlook. High Recovery Expectations: Senior secured obligations comprise 99.3% of the portfolio. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch-calculated weighted average recovery rate of the current portfolio is 65.7%. Diversified Portfolio: The portfolio is well-diversified across obligors, countries and industries. The top 10 obligor concentration, as calculated by Fitch, is 11.2%, and no obligor represents more than 1.3% of the portfolio balance. Exposure to the three largest Fitch-defined industries is 32.6% as calculated by Fitch. Fixed-rate assets, as reported by the trustee, account for 3.9%, complying with the limit of 10%. Transaction Out of Reinvestment Period: The manager stopped reinvesting in May 2026 due to the breach of certain tests, including the weighted average life test and more recently the Fitch 'CCC' test. As the manager could cure these tests and resume reinvesting, Fitch tested the ratings for upgrades based on a stressed portfolio, with a weighted average life floor of four years under its criteria, across the Fitch test matrix set out in the documentation. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Based on the current portfolio, downgrades may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of default and portfolio deterioration. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades may occur on stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY BNPP AM Euro CLO 2021 DAC Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for BNPP AM Euro CLO 2021 DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ELMWOOD EUROPEAN 2: S&P Assigns B- (sf) Rating to Class F Notes --------------------------------------------------------------- S&P Global Ratings assigned its credit ratings to Elmwood European CLO 2 DAC's class A, B, C, D, E, and F notes and A Loan. At closing, the issuer also issued EUR29.465 million unrated subordinated notes. The reinvestment period will be approximately 4.5 years, while the noncall period will be 1.5 years after closing. Under the transaction documents, the rated notes and loan will pay quarterly interest unless there is a frequency switch event. Following this, the notes and loan will switch to semiannual payment. The ratings assigned to the notes and loan reflect S&P's assessment of: -- The diversified collateral pool, which primarily comprises broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The 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 2,641.94 Default rate dispersion 543.47 Weighted-average life (years) 5.22 Obligor diversity measure 139.83 Industry diversity measure 19.57 Regional diversity measure 1.42 Transaction key metrics Total par amount (mil. EUR) 400 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 (%) 0.00 Target 'AAA' weighted-average recovery (%) 37.06 Actual weighted-average spread net of floors (%) 3.36 Actual weighted-average coupon (%) 4.90 Rationale S&P said, "Our ratings reflect our assessment of the collateral portfolio's credit quality, which has a weighted-average rating of 'B'. "The portfolio is well diversified, primarily comprising broadly syndicated speculative-grade senior secured term loans and bonds. Therefore, we conducted our credit and cash flow analysis by applying our criteria for corporate cash flow CDOs. "In our cash flow analysis, we used the EUR400.00 million target par amount, the covenanted weighted-average spread of 3.36%, the covenanted weighted-average coupon of 4.25%, and the target weighted-average recovery rate. We applied various cash flow stress scenarios, using four different default patterns, in conjunction with different interest rate stress scenarios for each liability rating category. "The transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our current counterparty criteria. "Under our structured finance sovereign risk criteria, the transaction's exposure to country risk is sufficiently mitigated at the assigned ratings. "The transaction's legal structure and framework is bankruptcy remote, in line with our legal criteria. "Our credit and cash flow analysis indicates that the available credit enhancement for the class B to E notes could withstand stresses commensurate with higher ratings than those assigned. However, as the CLO will be in its reinvestment phase starting from the effective date, during which the transaction's credit risk profile could deteriorate, we have capped our ratings assigned to the notes." The A Loan and class A notes can withstand stresses commensurate with the assigned ratings. The class F notes' current breakeven default rate cushion is negative at the assigned rating. Nevertheless, based on the portfolio's actual characteristics and additional overlaying factors, including S&P's long-term corporate default rates and recent economic outlook, we believe this class is able to sustain a steady-state scenario, in accordance with our criteria. S&P's analysis further reflects several factors, including: -- The class F 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. -- S&P's model-generated portfolio default risk, which is at the 'B-' rating level at 25.06% (for a portfolio with a weighted-average life of 5.22 years) versus 16.71% if it was to consider a long-term sustainable default rate of 3.2% for 5.22 years. -- Whether the tranche is vulnerable to nonpayment in the near future. -- If there is a one-in-two chance for this note to default. -- If S&P envisions this tranche to default in the next 12-18 months. S&P said, "Following this analysis, we consider that the available credit enhancement for the class F notes is commensurate with the assigned 'B- (sf)' rating. "Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe that our ratings are commensurate with the available credit enhancement for all rated classes of notes and loan. "In addition to our standard analysis, we have also included the sensitivity of the ratings on the class A to E notes and A Loan, based on four hypothetical scenarios. "As our ratings analysis makes additional considerations before assigning ratings in the 'CCC' category, and we would assign a 'B-' rating if the criteria for assigning a 'CCC' category rating are not met, we have not included the above scenario analysis results for the class F notes." Environmental, social, and governance S&P regards the exposure to environmental, social, and governance (ESG) credit factors in the transaction as being broadly in line with its 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 S&P's ESG benchmark for the sector, no specific adjustments have been made in its rating analysis to account for any ESG-related risks or opportunities. Elmwood European CLO 2 DAC 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. EAM Loan Manager Ltd. and Elmwood Asset Management UK Ltd. manage the transaction. Ratings Amount Credit Class Rating* (mil. EUR) enhancement (%) Interest rate A AAA (sf) 148.000 38.00 Three/six-month EURIBOR plus 1.28% A Loan AAA (sf) 100.000 38.00 Three/six-month EURIBOR plus 1.28% B AA (sf) 44.000 27.00 Three/six-month EURIBOR plus 1.75% C A (sf) 24.000 21.00 Three/six-month EURIBOR plus 2.00% D BBB- (sf) 28.000 14.00 Three/six-month EURIBOR plus 2.80% E BB- (sf) 19.000 9.25 Three/six-month EURIBOR plus 5.00% F B- (sf) 11.000 6.50 Three/six-month EURIBOR plus 8.20% Z NR 2.000 N/A N/A Sub notes NR 29.465 N/A N/A *The ratings assigned to the A Loan and class A and B notes address timely interest and ultimate principal payments. Our ratings address ultimate interest and principal payments on the other rated notes. 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. EURO-GALAXY III: Fitch's Outlook on 'B+' F-RRR Notes Rating Now Neg ------------------------------------------------------------------- Fitch Ratings has upgraded Euro-Galaxy III DAC's classes B-1-RRR, B-2-RRR and C-RRR notes and affirmed the others. Fitch has also revised the Outlook on the class F-RRR notes to Negative from Stable. All classes have been removed from Under Criteria Observation. Entity/Debt Rating Prior ----------- ------ ----- Euro-Galaxy III CLO DAC A-RRR XS2305240173 LT AAAsf Affirmed AAAsf B-1-RRR XS2305240256 LT AAAsf Upgrade AA+sf B-2-RRR XS2305240330 LT AAAsf Upgrade AA+sf C-RRR XS2305240413 LT AAsf Upgrade A+sf D-RRR XS2305240504 LT BBB+sf Affirmed BBB+sf E-RRR XS2305240686 LT BB+sf Affirmed BB+sf F-RRR XS2305240769 LT B+sf Affirmed B+sf Transaction Summary Euro-Galaxy III CLO DAC is a European cash flow CLO predominantly backed by senior secured obligations (at least 90%) with a component of senior unsecured, mezzanine, second-lien loans and high-yield bonds. The transaction is actively managed by PineBridge Investments Europe Limited. The transaction exited its reinvestment period in April 2023. KEY RATING DRIVERS Performance Deterioration: The transaction is currently 3.7% below par (calculated as the par difference with the initial par amount) as of the June 2026 trustee report. Exposure to assets with a Fitch-derived rating of 'CCC+' or below is 12.5%, breaching the transaction limit of 7.5%. Defaulted obligations in the portfolio totalled approximately EUR4.5 million. The revision of the Outlook on the class F-RRR notes to Negative stems from the portfolio's deteriorating performance metrics and reflects their reduced protection against further losses, as further evidenced by the failure of the class F-RRR par value test. In addition, based on the market value of the portfolio, credit enhancement for the class F-RRR notes is negative. Amortisation Increases Credit Enhancement: The transaction has deleveraged since July 2023, with the class A-RRR notes having amortised EUR99.7 million as of the April 2026 payment. The amortisation has led to an increase in credit enhancement for the senior and mezzanine notes, which has driven the upgrades of the class B-1-RRR, B-2-RRR and C-RRR notes. 'B'/'B-' Portfolio: Fitch assesses the average credit quality of the underlying obligors at 'B'/'B-'. The weighted average rating factor of the current portfolio is 26.3 as calculated by Fitch under its latest criteria. About 19.3% of the portfolio is currently on Negative Outlook. High Recovery Expectations: Senior secured obligations comprise 98.9% of the portfolio. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch-calculated weighted average recovery rate of the current portfolio is 65.2%. Portfolio Diversification: The portfolio remains diversified across countries and industries. However, obligor concentration is increasing, with the top 10 obligor concentration 29.6%, as calculated by Fitch, breaching the 20% limit. The largest obligor represents 3.2% of the portfolio balance. Exposure to the three largest Fitch-defined industries is 28.6%, as calculated by Fitch. Fixed-rate assets as reported by the trustee are at 8.7%, breaching the limit of 7.5%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Based on the current portfolio, downgrades may occur if the loss expectation is larger than initially assumed, due to unexpectedly high levels of default and portfolio deterioration. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades may occur on stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Euro-Galaxy III CLO DAC Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Euro-Galaxy III CLO DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. NORTHWOODS CAPITAL 23: S&P Lowers Class E Notes Rating to 'B (sf)' ------------------------------------------------------------------ S&P Global Ratings raised its credit ratings on Northwoods Capital 23 Euro DAC's class B-1 and B-2 notes to 'AA+ (sf)' from 'AA (sf)' and class C notes to 'A+ (sf)' from 'A (sf)'. At the same time, S&P lowered its rating on the class E notes to 'B (sf)' from 'BB- (sf)' and its rating on the class F notes to 'CCC+ (sf)' from 'B- (sf)'. S&P also affirmed its 'AAA (sf)' ratings on the A-1 and A-2 loans and class A notes, and its 'BBB- (sf)' rating on the class D notes. The rating actions follow the application of our global corporate CLO criteria and S&P's credit and cash flow analysis of the transaction based on the June 2026 payment trustee report. S&P's ratings on the A-1 and A-2 loans, and class A, B-1, and B-2 notes address the payment of timely interest and ultimate principal, and the payment of ultimate interest and principal on the class C to F notes. Since the closing date in May 2021: -- The weighted-average rating of the portfolio is 'B'. -- The portfolio is well diversified, as the number of performing obligors increased to 158 from 113 at closing. -- The portfolio's weighted-average life has decreased to 4.003 years from 5.82 years. -- The percentage of 'CCC'-rated assets has increased to 6.86% from 3.51%. -- The percentage of defaulted assets has increased to 0.26% from no defaults. -- The liabilities and assets decreased by EUR4.52 million and EUR17.68 million, respectively, resulting in a EUR13.17 million loss, which is a 3.29% loss in the aggregate collateral balance since closing. Portfolio benchmarks Current review Closing review SPWARF 2,770.99 2,758.76 Default rate dispersion 719.91 613.72 Weighted-average life (years) 4.00 5.82 Obligor diversity measure 120.92 88.37 Industry diversity measure 20.94 18.36 Regional diversity measure 1.25 1.25 SPWARF--S&P Global Ratings' weighted-average rating factor. On the cash flow side: -- The transaction's reinvestment period ended in July 2025. The class A notes and A-1 and A-2 loans began deleveraging from June 2026 by EUR4.5 million. The note factor for these tranches is 98.2%. -- Credit enhancement for all classes of notes has decreased since closing, which S&P partly attributes to the par loss of approximately EUR13.17 million and defaults of EUR979.217. No class of notes is currently deferring interest. -- All coverage tests are passing as of the latest trustee report. Transaction key metrics Current review Closing review Total collateral amount (mil. EUR)* 382.31 400.00 Defaulted assets (mil. EUR) 0.98 0.00 Number of performing obligors 158 113 Portfolio weighted-average rating B B 'CCC' assets (%) 6.86 3.51 'AAA' SDR (%) 58.20 66.97 'AAA' WARR (%) 35.68 37.28 *Performing assets plus cash and expected recoveries on defaulted assets. SDR--scenario default rate. WARR--Weighted-average recovery rate. S&P said, "In our view, the portfolio is diversified across obligors, industries, and asset characteristics. Nevertheless, credit enhancement has decreased across all classes due to par loss in the transaction. Although the transaction is no longer in its reinvestment period, the manager has continued to reinvest unscheduled redemption and sale proceeds from credit-impaired and credit-improved assets, which may prolong the most senior notes' repayment profile. Since December 2025, the weighted-average life (WAL) test has been failing, and the weighted-average recovery rate has decreased at all rating levels. "Our credit and cash flow analysis indicates that the available credit enhancement for the class B-1, B-2, and C notes is commensurate with higher ratings than those currently assigned. We therefore raised our ratings on these classes of notes. The upgrades primarily reflect the lower scenario default rates (SDRs) driven by the transaction's reduced WAL, and the gradual deleveraging of the senior tranches. "Our downgrade of the class E notes considers the negative cushion between our break-even default rates (BDR) and SDRs for the notes at its passing rating levels. Our cash flow analysis indicates that the available credit enhancement is commensurate with a higher rating than that currently assigned. However, the rating action reflects the most senior notes' limited amortization, the transaction's increased WAL risk, current macroeconomic conditions, and the tranches' relative seniority. We therefore lowered to 'B (sf)' from 'BB- (sf)' our rating on this class of notes. "Our downgrade of the class F notes reflects the deterioration in our cash flow results, given the decreased credit enhancement to 3.88% from 7.00% at closing and the abovementioned factors. This tranche continues to face shortfalls under our standard cash flow analysis at the 'B' rating level. We therefore applied our 'CCC' ratings criteria to assess if either a rating of 'B-' or a rating in the 'CCC' category would be appropriate. These criteria specify the need to assess whether there is any reliance on favorable business, financial, and economic conditions to meet the payment of interest and principal. "We also considered our model-generated BDR at the 'B-' rating level of 7.68%, compared with a long-term sustainable default rate of 3.2% for the WAL of 4.003 years, which would result in a target default rate of 12.81% and, at this rating level, would lead to a loss for the class F noteholders unless the transaction performs better than under our stressed scenarios. Therefore, in our view, payment of interest and principal on the class F notes depends on favorable business, financial, and economic conditions. Given that we do not expect the notes to face a near-term (within 12 months) credit or payment crisis, we lowered our rating to 'CCC+ (sf)' from 'B- (sf)'. "We affirmed our 'AAA (sf)' ratings on the A-1 and A-2 loans and class A notes, and our 'BBB- (sf)' rating on the class D notes, as their available credit enhancement remains commensurate with the assigned ratings. "Counterparty, operational, and legal risks are adequately mitigated in line with our 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." Northwoods Capital 23 Euro DAC is a European cash flow CLO transaction that securitizes loans granted to primarily speculative-grade corporate firms. Northwoods European CLO Management LLC manages the transaction. PALMER SQUARE 2024-2: Fitch Affirms 'BB+sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has upgraded Palmer Square European Loan Funding 2024-2 DAC's class B, C and D notes and affirmed the rest. Fitch has also removed all classes from Under Criteria Observation (UCO). Entity/Debt Rating Prior ----------- ------ ----- Palmer Square European Loan Funding 2024-2 DAC A XS2865669282 LT AAAsf Affirmed AAAsf B XS2865669449 LT AA+sf Upgrade AAsf C XS2865669795 LT A+sf Upgrade Asf D XS2865669951 LT BBB+sf Upgrade BBBsf E XS2865670298 LT BB+sf Affirmed BB+sf Transaction Summary Palmer Square European Loan Funding 2024-2 DAC is an arbitrage cash flow collateralised loan obligation (CLO) serviced by Palmer Square Europe Capital Management LLC (Palmer Square). The transaction has a static pool with a remaining weighted average life of 3.9 years as of the latest trustee report dated June 2026. KEY RATING DRIVERS CLO Criteria Update: The rating upgrades and affirmations incorporate the effect of Fitch's updated CLOs and Corporate CDOs Rating Criteria published on 1 June 2026. The updated methodology has positively affected the transaction, with an increase in the weighted average recovery rate to 65.4% from 61.9% as calculated by Fitch. Deleveraging Transaction: The transaction is static, leading to rapid deleveraging, with about EUR182.6 million of the class A notes having been repaid since the closing of the transaction in September 2024. This deleveraging has resulted in an increase in credit enhancement (CE) across the capital structure, which drives the upgrades and affirmations. As of the latest trustee report, there was EUR24.6 million cash in the principal account, which Fitch expects will be used to further pay down the class A notes. Stable Performance, Static Deal: The transaction does not have a reinvestment period, and discretionary sales are not permitted. The transaction's performance has been stable, with the latest trustee report showing 3.0% of assets with a Fitch-Derived Rating of 'CCC+' and below. The transaction is exposed to 13.4% of assets that have an Issuer Default Rating with a Negative Outlook, according to Fitch's calculations. The transaction is only slightly below par, with losses within the rating case assumption. Deviation from MIR: The one-notch deviation from the model-implied ratings (MIR) for the class B and class E notes, the two-notch deviation for the class C notes and three-notch deviation for the class D notes reflect the limited default-rate cushion in the Fitch portfolio at their MIR. However, the classes of notes benefit from strong default-rate cushion at their current rating and Fitch expects them to continue building CE and cushions as the deal deleverages. Low Refinancing Risks: The transaction has manageable near- and medium-term refinancing risk, with 0.63% maturing in 2026 and 0.72% in 2027. 'B' Portfolio: Fitch assesses the average credit quality of the obligors at 'B'. The Fitch-calculated weighted average rating factor of the current portfolio is 24.3. High Recovery Expectations: Senior secured obligations comprise 98.7% of the portfolio. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. The Fitch-calculated weighted average recovery rate of the current portfolio is 65.4%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades, which are based on the current portfolio, may occur if the loss expectation is larger than assumed, due to unexpectedly high levels of default and portfolio deterioration. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades may occur on stable portfolio credit quality and deleveraging, leading to higher CE and excess spread available to cover losses in the remaining portfolio. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognised Statistical Rating Organisations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for Palmer Square European Loan Funding 2024-2 DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ST. PAUL XII: Fitch Affirms 'B+sf' F Notes Rating, Outlook Now Neg. ------------------------------------------------------------------- Fitch Ratings has affirmed St. Paul's CLO XII DAC's notes and removed them from Under Criteria Observation. Fitch has revised the Outlooks on the class E and F notes to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- St. Paul's CLO XII DAC A XS2120080101 LT AAAsf Affirmed AAAsf B-1 XS2120081091 LT AAAsf Affirmed AAAsf B-2 XS2120081760 LT AAAsf Affirmed AAAsf C-1 XS2120082495 LT A+sf Affirmed A+sf C-2 XS2120083030 LT A+sf Affirmed A+sf D XS2120083626 LT BBB+sf Affirmed BBB+sf E XS2120083543 LT BB+sf Affirmed BB+sf F XS2120084350 LT B+sf Affirmed B+sf Transaction Summary The transaction is a cash flow CLO mostly comprising senior secured obligations. It is actively managed by ICG Manager Limited and exited its reinvestment period in October 2024. KEY RATING DRIVERS Portfolio Quality Deteriorated: The portfolio's credit quality has deteriorated since the last review in March 2026. Fitch-rated 'CCC' obligations have increased to 13.5% of the aggregate collateral balance from 10.4%, driven by negative rating migration, and remain above the 7.5% limit. Defaulted obligations have also increased to EUR10.4 million from EUR8.8 million, with low trustee-reported value. In addition, the class E and class F over-collateralisation cushions have reduced to 1.61% and 0.96%, respectively, from 2.76% and 2.20% at the previous review. Exposure to obligors with a Negative Outlook remains high at 20.9%, based on Fitch's calculations. The transaction continues to fail the Fitch weighted average rating factor (WARF) and Fitch weighted average recovery rate (WARR) tests. Par losses, defaults and the increase in Fitch-rated 'CCC' obligations have resulted in the revision of the class E and F notes' Outlook to Negative. Given the weak portfolio quality, further defaults could erode the cushions and pressure the rating. CLO Criteria Update: The affirmations primarily reflect the combined effect of Fitch's updated CLOs and Corporate CDOs Rating Criteria published on 1 June 2026, the class A notes' mild amortisation and the portfolio performance. The amortisation and the updated criteria, which increased the WARR to 64.5% from 61.6%, was offset by deteriorating performance metrics. The senior class A to D notes will benefit more from further amortisation and this supports their Stable Outlooks. 'B'/'B-' Portfolio: Fitch assesses the average credit quality of the obligors in the portfolio at 'B'/'B-'. The Fitch-calculated WARF of the current portfolio is 29.1 under the latest criteria. High Recovery Expectations: Senior secured obligations account for 97.6% of the portfolio. Fitch considers the recovery prospects for these assets to be stronger than those of second-lien, unsecured and mezzanine obligations. Fitch calculates the current portfolio WARR at 64.5%, based on its latest criteria. Diversified Portfolio: The trustee calculated the top 10 obligor concentration at 20.5%, under the 23% limit, and the largest single obligor at 2.3% of the aggregate collateral balance, under the 3% limit. Fixed-rate obligations as reported by the trustee are at 8%, complying with the limit of 20%. Transaction Outside Reinvestment Period: The transaction exited its reinvestment period on 15 October 2024, and the collateral manager has not made a purchase since December 2025. The collateral manager cannot reinvest currently due to the failure of the Fitch 'CCC' obligations and Fitch WARF. The manager's inability to reinvest means its downgrade analysis is based on the current portfolio, and the upgrade analysis is based on a Fitch-stressed portfolio, for which Fitch has adjusted the ratings of assets with Negative Outlooks down by one notch and floored the weighted average life at four years. Deviation from MIRs: The class C-1 and C-2 notes are rated two notches below their model-implied ratings (MIR) due to insufficient break-even default-rate cushion at the MIRs. The class D to F notes is rated three notches below their MIR to avoid unjustified rating volatility at higher ratings as the portfolio becomes more concentrated with deleveraging. In addition, the deviation reflects the large Fitch 'CCC' bucket and high volatility in the lower rated assets' market value. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades may occur if the loss expectation is larger than assumed, due to unexpectedly high levels of default and portfolio deterioration. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades may result from stable portfolio credit quality and deleveraging, leading to higher credit enhancement and excess spread available to cover losses in the remaining portfolio. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY St. Paul's CLO XII DAC Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for St. Paul's CLO XII DAC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ========= I T A L Y ========= SCIL IV: S&P Alters Outlook to Negative, Affirms 'BB-' ICR ---------------------------------------------------------- S&P Global Ratings revised the outlook to negative from stable on Italy-based composites and coatings technology producer SCIL IV LLC (Polynt Group). At the same time, S&P affirmed its 'BB-' long-term issuer credit rating on SCIL IV LLC (Polynt), and its 'BB-' issue rating on the EUR300 senior secured notes and the EUR1,420 million term loan B (TLB), with a recovery rating of '3'. The negative outlook reflects elevated risk to our base case over the next 12 months and the potential for adjusted debt to EBITDA to remain above 4.5x absent a progressive recovery in the company's key end markets, namely in construction, building, and infrastructure in North America; and automotive and transportation in Europe. S&P said, "We forecast S&P Global Ratings-adjusted EBITDA margin to remain resilient, despite Polynt's operating performance remaining subdued in 2026. During the first quarter of 2026, Polynt's revenue decreased by 15.1% and its EBITDA by 33.5%, driven by the normalization of trimellitic anhydride (TMA) and special purposes plasticizer (SPP) prices, the negative foreign exchange impact from the weakening U.S. dollar, and a less favorable geographical and product mix. Excluding the extraordinarily high contribution of TMA and SPP in 2025, the volumes and EBITDA were broadly stable compared to 2025. We forecast our adjusted EBITDA to decline to about EUR360 million-EUR370 million in 2026, reflecting continued trough-cycle conditions with market volumes lagging at about 20%-30% less than the long-term average. We do not expect a further material deterioration in EBITDA from the current forecast and we factor in a potential gradual recovery in 2027, driven by a possible improvement in Polynt's key end markets and in industrial demand. As volumes recover from trough levels, we expect EBITDA to increase gradually, supported by the company's pricing power, favorable product mix, and flexible cost structure. We expect our adjusted EBITDA to improve to about EUR400 million, translating into resilient S&P Global Ratings-adjusted EBITDA margin of about 20%. Polynt has been able to maintain an EBITDA margin of about 20% since the peak of 2022, we think that the company could largely benefit from a recovery once materializing. "We expect adjusted leverage to peak at 4.7x-5.0x in 2026 before improving toward 4.0x-4.5x in 2027. A lower EBITDA contribution and challenging market conditions underpin adjusted leverage deterioration in 2026. We factor in that leverage has been deteriorating over the last four years, to 4.6x 2025 from 2.3x in 2022. This largely results from lower EBITDA levels and two dividend recapitalization transactions in 2023 and 2025. We will make modest adjustments to our debt figures. As of 2025, our main debt adjustments include about EUR19 million of lease liabilities, EUR14 million of trade receivables sold, and EUR20 million of asset-retirement obligation. We do not net cash balances from our adjusted debt calculation, owing to the company's private equity ownership. On our current operating base case, we estimate that adjusted debt to EBITDA could recover to about 4.0x-4.5x in 2027. "Polynt's ability to generate substantial FOCF remains a key aspect of its creditworthiness. In 2025, Polynt achieved approximately EUR180 million in FOCF, in line with our expectations. This strong performance was fueled by moderate capital expenditure (capex) and substantial cash inflows from working capital, resulting in an FOCF-to-debt ratio of 10.2%. We forecast a decline in FOCF to about EUR80 million-EUR110 million in 2026, based on the expectation of higher cash taxes compared to 2025 and higher cash interest expenses following the releveraging transaction in 2025. We also expect normalization of working capital outflows, leading to a FOCF-to-debt ratio of approximately 5%-10%, remaining above our downside trigger of 5%. In our view, Polynt's asset-light business model is a key positive, factoring in capex of about EUR55 million-EUR60 million, primarily for maintenance. "We view the direct impact of the Middle East war on Polynt as limited. The company has no meaningful sales exposure to the region, generates close to 48% of revenue in the Americas, and operates a local-for-local sourcing model supported by a diversified supplier base, which reduces supply chain risks. While raw material prices increased materially following the escalation in regional tensions since mid-March, management indicated that stronger customer demand and its value-based pricing strategy enabled it to raise selling prices and substantially expand margins, particularly in April and May. We think that Polynt's vertically integrated business model, flexible cost base, and increasing focus on higher value-added products support its ability to mitigate input cost inflation and maintain resilient profitability. We expect that the inflationary environment to weigh on the construction market in 2026, although it translates to higher interest rates. If interest rates soften, it could support a recovery in market conditions in 2027, which we expect Polynt could benefit from. "We continue to view Polynt's liquidity as adequate, with no liquidity or refinancing risks over the short term. As of March 31, 2026, the company had about EUR225 million cash on balance sheet and full availability under its EUR125 million RCF maturing 2032. We expect the company to refinance the existing EUR300 million senior secured notes maturing in July 2028 before it becomes current, and view the refinancing risk as limited. "The negative outlook reflects elevated risk to our base case over the next 12 months and the potential for adjusted debt to EBITDA to remain above 4.5x if the recovery in construction, building, infrastructure, household, or automotive and transportation is weaker or slower than we expect. This could result in volumes and earnings remaining at trough-like levels for longer, despite Polynt's pricing power, flexible cost structure, and ability to pass through raw material cost inflation." S&P could lower the rating if: -- Prolonged weak market conditions translates into materially weaker profitability, resulting in S&P Global Ratings-adjusted debt to EBITDA remaining above 4.5x or FOCF to debt declining below 5% on a prolonged basis, with limited possibility of a swift recovery. -- A more aggressive financial policy could place sustained pressure on credit metrics, leading to a significant weakening of the company's credit profile. S&P could revise the outlook to stable if: -- Adjusted leverage recovers to below 4.5x; -- The company continues to generate positive FOCF, so that FOCF to debt remains above 5%; and -- Polynt maintains adequate liquidity and comfortable headroom under its financial covenants. =================== L U X E M B O U R G =================== MILLICOM INTERNATIONAL: Fitch Affirms 'BB+' IDR, Outlook Stable --------------------------------------------------------------- Fitch Ratings has affirmed Millicom International Cellular, S.A.'s Long-Term Foreign and Local Currency Issuer Default Ratings (IDRs) at 'BB+' with a Stable Rating Outlook. Fitch has also affirmed Millicom's senior unsecured debt at 'BB+'. Millicom's ratings reflect its improved geographic diversification, network quality and strong brand recognition which support its leading positions in Latin America, a robust subscriber base and solid EBITDA generation. The ratings are constrained by its subsidiaries' operating environments, which provide significant upstream cash flows, as well as by limited interest coverage for the rating and moderate FX exposure. The Stable Outlook also incorporates Fitch's expectation that the company will successfully consolidate and integrate its recently acquired operations, supporting greater scale, earnings diversification and its leading position across Latin America. The Outlook also reflects Fitch's expectation that Millicom will maintain consolidated net leverage below 3.5x, adhere to its financial policy and sustain market leadership in key markets. Key Rating Drivers Weak Operating Environment: Millicom's ratings are constrained by the weak operating environments in its Latin American markets. These environments feature weak systemic governance, relatively low sovereign ratings and vulnerability to economic shocks, resulting in volatile political, regulatory and economic conditions. Less developed and shallower domestic financial markets further limit funding options and increase reliance on U.S. dollar borrowing, adding foreign currency exposure. Strong Business Model: Millicom holds leading positions, ranking No. 1 or No. 2 in most of its markets. Fitch expects the company to defend these positions backed by superior network quality, broad coverage and a strong B2B operation. These positions support robust EBITDA margins of around 39% and stable FFO margins over the medium term, in line with investment-grade peers. They also enable Millicom to capture growth in underserved mobile data and fixed broadband segments. Consolidating Geographic Expansion: Millicom's recent acquisitions strengthen its scale, diversification and South American presence, though they carry execution and integration risks. The company invested about USD1.8 billion to acquire operations in Ecuador, Uruguay, Chile (not consolidated) and Colombia, expanding its footprint to 12 markets, including joint ventures. This lifted its mobile base above 57 million and home fixed users above 6 million. Fitch expects Millicom to improve performance of these operations via its cost-efficiency program and realize Colombian consolidation synergies, supporting stronger FCF and dividend upstreams. Positive Free Cash Flow: Fitch expects Millicom to generate a positive FCF margin of 2%-3% in the 2026-2028 period, supported by improved operational performance and the consolidation of new acquisitions, despite higher capex and dividend distribution. Fitch expects a capex intensity of around 15% over the medium (including Intangibles and minor spectrum investment), focused on 5G development and fiber network expansion. Dividend distribution will remain subject to compliance with the company's net leverage target of 2.5x. Deleveraging Expected: Fitch projects Millicom's consolidated net debt-to-EBITDA will decline to about 2.5x by the end of 2026, from 2.9x in the last 12 months ended March 2026, in line with the company's leverage target. Deleveraging will be supported by EBITDA growth from organic gains, new acquisitions and cost efficiencies. The financial flexibility score remains a limiting factor for the 'BBB-' Standalone Credit Profile (SCP) of the company due to weak interest coverage. Fitch assumes that Millicom's financial policy remains unchanged despite Iliad Holding S.A.S.'s (BB+/Stable) higher stake. Standalone Rating: Fitch rates Millicom on a standalone basis despite Iliad Holding S.A.S.'s (BB+/Stable) 44% indirect ownership stake. This approach reflects Millicom's classification as an unrestricted subsidiary, the high proportion of publicly listed shares, the composition of Millicom's board of directors, its separate external funding, and the independence of its business model, brand and treasury operations, as well as the absence of guarantees or cross-defaults. Peer Analysis Millicom's credit profile is comparable to that of regional telecommunications peers in the 'BB' rating category based on a solid financial profile and operational scale and diversification, as well as strong positions in key markets, offset by high concentration in countries with low sovereign ratings in Latin America which tend to have more volatile economic environments. Millicom has a stronger financial profile than diversified integrated telecom operators in the region, such as Cable & Wireless Communications Limited (BB-/Positive), supporting a higher rating. Millicom's leverage is slightly higher than that of Empresa de Telecomunicaciones de Bogota, S.A., E.S.P. (BB-/RWN), but it benefits from a stronger business profile and diversification, with stronger market positions in multiple markets. Millicom also has a stronger financial structure, business profile and diversification than Axtel S.A.B. de C.V. (BB/Stable), a Mexican fixed-line operator as well as than DB Terra Chile Holdco SpA (BB-/Stable), a Chilean operator that offers fixed broadband through a strong, owned fiber to the home network. Compared with investment-grade operators, such as Chile's Empresa Nacional de Telecomunicaciones S.A. (Entel, BBB-/Stable), Millicom has stronger profitability, better geographical diversification and similar leverage profile. Millicom is rated below Entel due in part to its operating environments and the sources of its dividends. America Movil S.A.B de C.V (A-/Stable) has lower leverage than Millicom and higher geographic diversification in countries with stronger operating environments. Fitch’s Key Rating-Case Assumptions - Revenue growth of around 35% in 2026, due mainly to the full consolidation of acquisitions, and low to mid-single revenue digit growth for 2027-2029; - EBITDA margin is expected to compress in 2026 due to the consolidation of Coltel operations and lease commitments, returning to 39% in the medium term due to organic improvements and positive integration of new operations; - Mobile customer base growth of around 16% in 2026 and around 2% in 2027-2029, with ARPU increasing at a low to mid-single-digit rate over 2027-2029; - Fixed business revenues growth of 32% in 2026 and low single-digit growth in 2027-2029. Low single-digit reduction in average ARPU offset by the increase in the subscriber base; - Average capex intensity of approximately 15% for the 2026-2029 period, including spectrum and intangibles; - Ordinary dividends of USD3 per share, and extraordinary dividends subject to compliance with the leverage targets; - Positive FCF generation with margin on revenue in the low single digits. Corporate Rating Tool Inputs and Scores Fitch scored the issuer as follows, using its Corporate Rating Tool (CRT) to produce the SCP: - Business and financial profile factors (assessment, relative importance): management (bbb, Moderate), sector characteristics (bbb, Lower), market and competitive positioning (bbb, Moderate), diversification and asset quality (bbb, Moderate), company operational characteristics (bbb-, Moderate), profitability (a-, Moderate), financial structure (bbb, Moderate), and financial flexibility (bb+, Higher). - The quantitative financial subfactors are based on standard CRT financial period parameters: 20% weight for the latest historical year 2025, 40% for the forecast year 2026 and 40% for the forecast year 2027. - The Governance assessment of 'good' has no impact. - The Operating Environment assessment of 'bb-' results in an adjustment of -1 notch. - The SCP is 'bb+'. To derive the Long-Term IDR: - Fitch made no adjustments to the SCP, resulting in an IDR of 'BB+'. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - A deterioration in the operating environments of the Millicom group; - Consolidated total adjusted net debt to EBITDA at 3.5x or above and lease-adjusted net debt to EBITDAR at 4.5x or above; - CFO minus capex to debt below 7.5% on a sustained basis; - Holding company debt to upstream cash flows received consistently above 4.5x; - A change in financial policy could have negative implications for Millicom's ratings; - Material increases in FX exposure and EBITDA interest coverage lower than 3.0x. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - An improvement in the operating environments of the Millicom group; - Total adjusted net debt to EBITDA of 2.5x or below and lease-adjusted net debt to EBITDAR of 3.5x or below sustained over the rating horizon; - Reduced FX exposure and EBITDA interest coverage above 6.5x; - CFO minus capex to debt sustained above 12.5%. Liquidity and Debt Structure Millicom maintains a robust liquidity position with cash reserves that nearly cover short-term debt despite sizable acquisition needs. At March 31, 2026, consolidated readily available cash was USD1,177 million, covering almost all of the USD1,232 million of short-term debt. Fitch anticipates no liquidity issues at the operating or holding-company level, supported by stable operating cash flow, consistent upstreaming and strong capital market access. Although the company has exposure to FX volatility, its strategy is to refinance USD obligations in local currencies to reduce this exposure. Fitch expects pressured interest coverage in the medium term, considering the higher interest rates in local markets. Issuer Profile Millicom is a diversified telecom operating in 12 Latin American countries operating under the Tigo brand. It provides B2C mobile services, B2C fixed telephony, pay TV and broadband services, B2B fixed and mobile services, and mobile finance solution services. Summary of Financial Adjustments - Lease adjustments. MACROECONOMIC ASSUMPTIONS AND SECTOR FORECASTS Fitch's latest quarterly Global Corporates Sector Forecasts Monitor data file which aggregates key data points used in its credit analysis. Fitch's macroeconomic forecasts, commodity price assumptions, default rate forecasts, sector key performance indicators and sector-level forecasts are among the data items included. Climate Vulnerability Signals The results of its Climate.VS screener did not indicate an elevated risk for Millicom International Cellular S.A. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. Entity/Debt Rating Prior ----------- ------ ----- Millicom International Cellular S.A. LT IDR BB+ Affirmed BB+ LC LT IDR BB+ Affirmed BB+ senior unsecured LT BB+ Affirmed BB+ ===================== N E T H E R L A N D S ===================== DUTCH MORTGAGE 2024-1: S&P Affirms 'CCC(sf)' rating on Cl. F Notes ------------------------------------------------------------------ S&P Global Ratings raised its ratings on Dutch Mortgage Finance 2024-1 B.V.'s class B-Dfrd notes to 'AA+ (sf)' from 'AA (sf)', class C-Dfrd notes to 'AA (sf)' from 'A+ (sf)', class D-Dfrd notes to 'A+ (sf)' from 'BBB (sf)', and class E-Dfrd notes to 'BB+ (sf)' from 'BB (sf)'. At the same time, S&P affirmed its 'AAA (sf)' rating on the class A notes and 'CCC (sf)' rating on class F-Dfrd notes. S&P said, "The rating actions reflect our full analysis of the most recent transaction information that we have received and the transaction's structural features. "Since closing in July 2024, our credit analysis results show lower weighted-average foreclosure frequency (WAFF) at all rating levels. Our weighted-average loss severity (WALS) assumptions have also decreased, because of lower current loan-to-value ratios, driven by our lower overvaluation adjustment for Dutch residential properties and rising house prices in the Netherlands. "As of April 2026, the pool factor has decreased to 71.6%. Arrears stand at 0.45%, down from 0.54% in April 2025, and lower than our Dutch delinquencies buy-to-let (BTL) index (0.74%, as of the first quarter of 2026). No cumulative losses have been recorded. The three-month conditional prepayment rate stands at 16.5%, up from 6.1% in April 2025 and below our Dutch prepayment index (18.3%, as of the first quarter of 2026)." Portfolio WAFF and WALS Rating level WAFF (%) WALS (%) CC (%) AAA 26.97 22.25 6.00 AA 18.07 15.44 2.79 A 13.49 9.80 1.32 BBB 9.17 3.70 0.34 BB 4.59 2.52 0.12 B 3.44 2.00 0.07 WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. CC--Credit coverage. The portfolio comprises owner-occupied and BTL loans secured on Dutch residential, mixed-use, and commercial properties. Approximately 50% of the assets are mixed-use or purely commercial. S&P analyzes these assets by borrowing elements of its commercial real estate criteria. The transaction has continued to demonstrate positive performance, with credit enhancement levels increasing for all notes since closing. This is due to the tranches' sequential amortization and the nonamortizing reserve fund, which is at its required level. Excess spread reduced due to the higher fixed swap paid and because loans have been refixing at lower margins. S&P said, "The structure continues to benefit from robust asset quality, and our lower overvaluation and repossession market value decline adjustments for the Netherlands. Additionally, seasoning benefit for 40% loans has been incorporated into the analysis and further supports the credit profile. We have also reduced the originator adjustment in line with recent Dutch Mortgage Finance transactions, which has contributed to the improved WAFF and WALS." S&P's operational, legal, and counterparty risk analysis for the transaction remains unchanged since closing. S&P said, "As a result, we raised our ratings on the class B-Dfrd, C-Dfrd, D-Dfrd, and E-Dfrd notes to 'AA+ (sf)' from 'AA (sf)', to 'AA (sf)' from 'A+ (sf)', to 'A+ (sf)' from 'BBB (sf)', and to 'BB+ (sf)' from 'BB (sf)', respectively. "We affirmed our 'AAA (sf)' rating on the class A notes and 'CCC (sf)' rating on class F-Dfrd notes, considering their stable asset performance and increased available credit enhancement, which remains commensurate with the assigned ratings." =========== R U S S I A =========== UZAUTO MOTORS: Fitch Hikes Long-Term IDR to 'BB', Outlook Stable ---------------------------------------------------------------- Fitch Ratings has upgraded JSC UzAuto Motor's (UAM) Long-Term Issuer Default Rating (IDR) to 'BB' from 'BB-', and senior unsecured bonds rating to 'BB' from 'BB-' with a Recovery Rating of 'RR4'. The Outlook on the IDR is Stable. The upgrade reflects UAM's improved Standalone Credit Profile (SCP), which has been revised to 'b' from 'b-', following the refinancing of its Eurobonds, improved liquidity and its expectations for positive free cash flow (FCF) generation in 2026-2029. UAM's IDR is strongly supported by its assessment of 'Extremely likely' support from its indirect shareholder, the government of Uzbekistan (BB/Positive), under its Government-Related Entities (GRE) Rating Criteria, leading to rating equalization. Key Rating Drivers Successful Eurobond Refinancing: In November 2025, UAM refinanced its USD300 million Eurobonds maturing in May 2026. The proceeds from its new USD350 million Eurobonds maturing in November 2030 were used to repay previous bonds and some local banking facilities. The refinancing and improved liquidity are the main factors behind the SCP revision to 'b' from 'b-'. Larger Liquidity Buffer: UAM's cash balance at end-2025 was USD89.5 million (compared with USD42.8 million at end-2024); the company also had USD70 million availability under an export credit agency facility and syndicated term loan. Fitch expects UAM's liquidity is to be supported by positive FCF generation in 2026-2029, supported by much reduced working capital needs, mainly on decreasing receivables from individuals - ie the gradual repayment of their car loans. However, working-capital volatility could affect FCF generation and worsen liquidity. Improving Domestic Market: UAM's revenue and profitability have been eroded by weaker demand and credit conditions in Uzbekistan over the past two years. However, in 2025, the company managed to sell almost 400,000 cars, at an improved average domestic car price of USD10,600. Consequently, its USD4.1 billion revenue and USD355 million Fitch-defined EBITDA were above its expectations of USD3.7 billion and USD307 million, respectively, supporting a stronger updated rating case forecast. Negative FCF: FCF was still slightly negative at USD52 million, due largely to an increase in trade receivables from individuals, which are car loans extended to retail customers to fund vehicle purchases, supporting sales but leading to significant working-capital swings. However, Fitch believes the FCF will turn positive from 2026 when UAM will start collecting receivables due and considering UAM's exit from direct car sales funding. Responsibility to Support: Fitch views decision making and oversight as 'Very strong' under GRE criteria. The company is 99.7% owned by the state, although it may consider floating up to 5% of its capital stock and the state exercises tight control, by approving any large investments and funding. UAM works with the government in pricing its cars, to ensure alignment with the state's policy and expectations, especially on budget vehicles. 'Strong' Precedents of Support: Fitch assesses precedents of support as 'Strong', based on meaningful support provided through UAM's tax preferential status, shareholder loans and remaining import tariffs on other producers. UAM started to distribute dividends in 2021, after its strong underlying performance removed the need for support from its parent. Incentive to Support: Fitch assesses preservation of government policy role as 'Strong' as UAM is the sole domestic auto manufacturer and directly and indirectly employs more than 30,000 people. Trade flows and auto financing activities from vehicles sales are important to the banking system. Fitch views contagion risk as 'Strong' as UAM is Uzbekistan's first Eurobond corporate issuer and successfully refinanced in November 2025. The company is also financed by leading domestic banks. Fitch therefore believes that a UAM default could affect the ability of Uzbekistan and other GREs to borrow on international markets. Top-Down Approach: The support factors with support score of 35, combined with UAM's SCP, lead to a top-down approach and an equalised rating. Business Profile Limits SCP: Fitch views UAM's business profile as weaker than other Fitch-rated carmakers, reflecting its limited scale despite its defendable dominant domestic market share (recently at around 80%), narrow yet affordable product range and the lack of a strong brand and sales concentration in Uzbekistan. Its operating activity is fully dependent on a long-term license agreement with General Motors Company (GM, BBB/Positive), which provides access to the latter's technological knowledge. Peer Analysis Fitch views UAM as similar to GRE peers, such as JSC Almalyk Mining and Metallurgical Complex (BB/Stable) and JSC Uzbekneftegaz (BB/Stable). UAM's business profile is much weaker than that of global automotive manufacturers, including General Motors Company (BBB/Positive) or Ford Motor Company (BBB-/Stable). The company is not fully comparable with Fitch-rated peers as it does not own the brand of the models it manufactures and the associated technological knowledge. UAM is also much smaller than peers, despite its dominant position in its domestic market. Product and geographical diversification are also much lower than that of global automotive manufacturers. UAM's EBITDA and EBIT margins, and its leverage, are commensurate with those of investment-grade category auto manufacturers, but its cash flow generation has been erratic. Its historical FCF margin volatility stems from large annual working-capital swings and growth capex. Fitch’s Key Rating-Case Assumptions - UAM's car sales to rise 1.3% to 400,000 in 2026, due to stable domestic car prices (average of USD10,800 in 2026-2028). Revenue to increase to USD4.4 billion in 2026, before rising gradually to USD4.7 billion in 2029 - EBITDA margin at 8.6% in 2026, before gradually trending towards 9.5% by 2029 on higher volumes sold - Negative working-capital changes at an average 1.1% of sales in 2026-2029. No further expansion of direct financing activities to individual car buyers - Average capex at 1.4% of sales in 2026-2029 - Dividend payout ratio of 25% in 2026 and 2027 and 30% in 2028 and 2029 - No M&A Corporate Rating Tool Inputs and Scores Fitch scored the issuer as follows, using its Corporate Rating Tool (CRT) to produce the Standalone Credit Profile (SCP): Business and financial profile factors (assessment, relative importance): management ('bb-', Moderate), sector characteristics ('b', Lower), market and competitive positioning ('ccc+', Moderate), diversification and asset quality ('b', Higher), company operational characteristics ('b+', Moderate), profitability ('bb-', Moderate), financial structure ('bbb', Lower), and financial flexibility ('b', Higher). The quantitative financial subfactors are based on standard CRT financial period parameters: 20% weight for the historical year 2025, 40% for the forecast year 2026 and 40% for the forecast year 2027. B+ to CC considerations apply in its analysis and have no impact. The governance assessment of 'some deficiencies' has no impact. The operating environment assessment of 'b' has no impact. The SCP is 'b'. To derive the Long-Term IDR: Application of Fitch's GRE Rating Criteria results in an equalised approach and 'BB' IDR. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - A downgrade of Uzbekistan's sovereign rating - Evidence of weaker ties between Uzbekistan and UAM (for example, a change in UAM's protected status in the market; reduced government oversight of UAM; and weakening of financial and other support) - EBITDA leverage above 2.8x or negative FCF, both for a sustained period Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - An upgrade of Uzbekistan's sovereign rating, assuming unchanged support score, and stronger SCP on EBITDA leverage below 1.3x and FCF margin above 2%, both on a sustained basis Liquidity and Debt Structure Fitch expects UAM to have about USD33 million readily available cash and cash equivalents at end-2026, which it deems sufficient to sustain intra-year working-capital swings. The company has access to a USD48 million short-term trade finance line with Credit Suisse (of which USD40 million was drawn at end- 2025), and a syndicated loan facility of USD100 million (USD35 million drawn at end- 2025). The Eurobond is the main borrowing facility in UAM's capital structure, with maturity in November 2030. The company also guarantees UzAuto Motors Powertrain's amortising loan with the export credit agency to fund its capex programme. Issuer Profile UAM is the dominant car producer in Uzbekistan and is more 99.7% indirectly owned by JSC Uzavtosanoat, a state-owned company. UAM produces and sells vehicles and spare parts under the Chevrolet brand, mainly in Uzbekistan and Kazakhstan. Public Ratings with Credit Linkage to other ratings Uzbekistan MACROECONOMIC ASSUMPTIONS AND SECTOR FORECASTS Fitch's latest quarterly Global Corporates Sector Forecasts Monitor data file which aggregates key data points used in its credit analysis. Fitch's macroeconomic forecasts, commodity price assumptions, default rate forecasts, sector key performance indicators and sector-level forecasts are among the data items included. Climate Vulnerability Signals The Climate.VS for UAM for 2035 is 52 out of 100. UAM derives most of its revenue from the sale of gasoline powered vehicles. The Climate.VS also reflects some exposure to physical climate risk due to the geographic concentration of manufacturing assets. ESG Considerations UAM has an ESG Relevance Score of '4' for Financial Transparency due to below-average quality of financial statements and delayed publication, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. Entity/Debt Rating Recovery Prior ----------- ------ -------- ----- JSC UzAuto Motors LT IDR BB Upgrade BB- senior unsecured LT BB Upgrade RR4 BB- =========== S E R B I A =========== SERBIA: Fitch Affirms 'BB+' Long-Term IDR, Outlook Positive ----------------------------------------------------------- Fitch Ratings has affirmed Serbia's Long-Term Issuer Default Ratings (IDRs) at 'BB+' with a Positive Outlook. Serbia's ratings are supported by a consistent macroeconomic policy mix, including a strong commitment to exchange rate stability and prudent fiscal management, strengthened international reserves and high GDP per capita compared with 'BB' peers. Set against these factors are large current account deficits (CAD), significant reliance on external funding and high banking sector euroisation. The Positive Outlook reflects the prospect of higher investment-led economic growth after a recent slowdown, stabilisation of government debt at a lower level, and a record of resilience to external shocks. However, increased political uncertainty, including that related to potential early elections, may result in renewed social protests, posing downside risks to economic growth and FX reserves. Key Rating Drivers Gradual Growth Improvement: Real GDP growth accelerated in 1Q26, on favourable base effects, stronger private and public consumption, and higher automotive exports. Growth should remain broadly stable as project completion under the 'Leap into the Future 2027' plan and wage and pension increases offset lingering domestic political uncertainty, weaker external demand and the effect of the EU Carbon Border Adjustment Mechanism on some sectors' competitiveness. Fitch projects real GDP growth will pick up to 4.0% in 2027, driven by one-offs related to the Belgrade Expo 2027, from 2.8% in 2026. Favourable Medium-term Outlook: Since 2024, Serbia's economy has slowed but shown resilience to external shocks, including US tariffs, the Middle East conflict and weak growth among key trading partners, lower FDI inflows and domestic political uncertainty. Fitch projects growth will stabilise at about 3.5% beyond 2027, supporting its forecast of an almost 50% increase in GDP per capita in US dollar terms between 2024 and 2028. However, rising labour costs, including a doubling of the minimum wage since 2020, stagnating labour participation and adverse demographics pose downside risks to the medium-term outlook. Political Uncertainty; Early Elections: Statements by President Vucic suggest early elections are likely by end-2026, although the timing and type of vote (presidential, parliamentary or both) remain unclear. Recent municipal election results point to the potential for a tight national vote, amid continued high political polarisation. Student-led protests eased over 2H25, but social tensions could rise again around the vote. There are limited visibility of potential candidates and the policy platform of the student-led movement. The sale of the Russian stake in oil company NIS to Hungary's MOL group still requires approval from the US and Russia. Moderate Pre-Election Fiscal Easing: Fitch expects fiscal policy will remain prudent, despite the electoral cycle, and projects a general government deficit within the 3% of GDP IMF target in 2026, after 2.4% in 2025. The government announced a package worth 0.6% of GDP, including one-off support for vulnerable groups and pensioners. Stronger revenue performance, particularly higher corporate income tax, VAT and non-tax proceeds, should offset the cost. The general government deficit was 1.0% in 5M26, lower than planned. Moderate Fiscal Deficits: Fitch projects the fiscal deficit will narrow to 2.5% of GDP by 2028, in line with the IMF's programme target, due to a moderate reduction in capex to about 6.0% from an average 6.5% in 2026-2027. The new 'Serbia 2035 Development Strategy' points to continued high investment, although details remain limited. In Fitch's view, the risk of contingent liabilities is low, but fiscal governance challenges include accumulation of arrears at some state-owned enterprises (SOE), financial pressures among municipalities, and the ongoing restructuring of energy SOEs. Public Debt to Stabilise: Fitch forecasts general government debt/GDP will stabilise at about 44% in 2026-2028, after a 2.2pp decline to 44.7% in 2025, well below the 'BB' and 'BBB' medians. The government is heavily reliant on external financing, which represents about 70% of the debt stock and explains the high almost 80% share of foreign-currency debt, mainly euro-denominated. Currency risk is largely mitigated by a credible, stabilised exchange rate with the euro, and hedging of non-euro debt obligations. Lower CAD: The CAD reached EUR0.4 billion in 4M26, 0.4% of projected 2026 GDP and well below EUR1.3 billion in 4M25, due to a lower trade deficit, reflecting solid automotive exports, and higher services and secondary income surpluses. As a result, Fitch projects the CAD will narrow to 4.5% of GDP in 2026, from 4.9% in 2025, despite pressure from higher energy prices and restocking of strategic oil reserves. Fitch expects the deficit to narrow further in 2027 on higher tourism receipts related to Expo 2027, before stabilising at about 4.5% of GDP thereafter. Improved External Position: Fitch expects net FDI will average 2.7% of GDP in 2026-2028, with recently announced Chinese projects and a gradual shift towards higher value-added sectors providing an upside. FX reserves rose year-to-date as a EUR3 billion triple tranche international bond issuance in May 2026 helped offset unfavourable gold valuation effects and higher domestic FX demand. Fitch expects reserves coverage of current external payments to decline to 5.3 months in 2028 from 5.9 months in 2025, reflecting a high import bill, but remain above the projected 'BB' median of 4.5 months. ESG - Governance: Serbia has a medium WBGI ranking at 44th percentile, reflecting a moderate level of rights for participation in the political process, moderate institutional capacity and rule of law, perception of corruption is high. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Structural/Macro: Intensification of political uncertainty that undermines economic growth, public and external finances or macroeconomic stability would lead to a revision of the Outlook to Stable. - External Finances: A fall in FX reserves that undermines the credibility of the stabilised currency regime. - Public Finances: An increase in general government debt/GDP, for example, due to a structural fiscal loosening or substantial capex overruns. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Macro/ Externals: Greater confidence that domestic political uncertainty will not derail the growth outlook, undermine macroeconomic stability or lead to pressure on FX reserves. - Structural: An improvement in governance, potentially incorporating steps that would smooth EU accession prospects. Sovereign Rating Model (SRM) and Qualitative Overlay (QO) Fitch's proprietary SRM assigns Serbia a score equivalent to a rating of 'BBB-' on the Long-Term Foreign-Currency (LTFC) IDR scale. Fitch's sovereign rating committee adjusted the output from the SRM to arrive at the final LTFC IDR by applying its QO, relative to SRM data and output, as follows: - Structural: -1 notch, to reflect a high level of domestic political uncertainty and residual geopolitical risks, that could negatively impact growth and investor confidence and pressure external buffers. Fitch's SRM is the agency's proprietary multiple regression rating model that employs 18 variables based on three-year centred averages, including one year of forecasts, to produce a score equivalent to a LTFC IDR. Fitch's QO is a forward-looking qualitative framework designed to allow for adjustment to the SRM output to assign the final rating, reflecting factors within its criteria that are not fully quantifiable and/or not fully reflected in the SRM. Debt Instruments: Key Rating Drivers Senior Unsecured Debt Equalised: The senior unsecured long-term debt ratings are equalised with the applicable Long-Term IDR, as Fitch assumes recoveries will be 'average' when the sovereign's Long-Term IDR is 'BB-' and above. No Recovery Ratings are assigned at this rating level. Country Ceiling The Country Ceiling for Serbia is 'BBB-', one notch above the LTFC IDR. This reflects moderate constraints and incentives, relative to the IDR, against capital or exchange controls being imposed that would prevent or significantly impede the private sector from converting local currency into foreign currency and transferring the proceeds to non-resident creditors to service debt payments. Fitch's Country Ceiling Model produced a starting point uplift of zero notches above the IDR. Fitch's rating committee applied a one-notch qualitative upward adjustment under the Long-Term Institutional Characteristics pillar, reflecting the importance of FDI to Serbia's open economy and the EU accession process. Climate Vulnerability Signals The results of its Climate.VS screener did not indicate an elevated risk for Serbia. ESG Considerations Serbia has an ESG Relevance Score of '5' for Political Stability and Rights as World Bank Governance Indicators have the highest weight in Fitch's SRM and are therefore highly relevant to the rating and a key rating driver with a high weight. As Serbia has a percentile rank below 50 for the respective Governance Indicator, this has a negative impact on the credit profile. Serbia has an ESG Relevance Score of '5' for Rule of Law, Institutional & Regulatory Quality and Control of Corruption as World Bank Governance Indicators have the highest weight in Fitch's SRM and are therefore highly relevant to the rating and are a key rating driver with a high weight. As Serbia has a percentile rank below 50 for the respective Governance Indicators, this has a negative impact on the credit profile. Serbia has an ESG Relevance Score of '4' for Human Rights and Political Freedoms as the Voice and Accountability pillar of the World Bank Governance Indicators is relevant to the rating and a rating driver. As Serbia has a percentile rank below 50 for the respective Governance Indicator, this has a negative impact on the credit profile. Serbia has an ESG Relevance Score of '4[+]' for Creditor Rights as willingness to service and repay debt is relevant to the rating and is a rating driver for Serbia, as for all sovereigns. As Serbia has a record of 20+ years without a restructuring of public debt as captured in its SRM variable, this has a positive impact on the credit profile. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. Entity/Debt Rating Prior ----------- ------ ----- Serbia LT IDR BB+ Affirmed BB+ ST IDR B Affirmed B LC LT IDR BB+ Affirmed BB+ LC ST IDR B Affirmed B Country Ceiling BBB- Affirmed BBB- senior unsecured LT BB+ Affirmed BB+ Senior Unsecured-Local currency LT BB+ Affirmed BB+ ========= S P A I N ========= IDUN S.A.R.L: Fitch Assigns 'BB+sf' Final Rating to Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned Idun (European Loan Conduit No. 42) S.a r.l 's floating-rate notes final ratings as detailed below. Entity/Debt Rating Prior ----------- ------ ----- Idun (European Loan Conduit No. 42) S.a r.l. A LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB+sf New Rating BB+(EXP)sf Transaction Summary The transaction is a 95% securitisation of a EUR312.5 million commercial real estate facility, originated by Morgan Stanley Principal Funding, Inc. (MSPFI) and Morgan Stanley Bank, N.A. (MSBNA) for EQT Group and its affiliates, a global investment firm with around USD31 billion in real estate assets under management. MSBNA, as an originator and a majority-owned affiliate of MSPFI, is retaining 5% of the liabilities pari passu in the form of an issuer loan. The notes will not be secured by any interest in real property at closing. KEY RATING DRIVERS Quality Pan-European Big Box Portfolio: The loan collateral consists of 22 "big box" assets used for logistics. The logistics assets are spread across five countries, with two in Belgium, three in France, five in Germany, two in The Netherlands and 10 in Spain. The majority of the assets were built after 2000 and are well-maintained, well-located along major arterial routes and well-suited for distribution in terms of specifications such as clear heights, yard depth and density of loading bays. The portfolio is 100% occupied, largely reflecting legacy lettings given original medium term lease lengths. Fitch scored the portfolio '2.6' on a weighted average (WA) basis, with individual asset scores ranging from '2' to '4'. Durability, Diversity, Structure Mitigate Risk: The assets are primarily single let to large logistics operators and consumer goods companies, reflecting their utility as core logistics assets. A relatively long WA unexpired lease term to break of 5.8 years (from 1 April 2026) spread across 21 tenancies cushions the financing from idiosyncratic re-letting risk. The diversification is better retained by prudent release pricing compared with other CMBS. Pending Spanish Mortgages: The borrower must grant mortgages for the Spanish assets by longstop dates (75% by October, 25% by the end of April 2027). Longstop arrangements are common across broadly syndicated commercial real estate loans in Spain, for which mortgage registration is performed individually by lenders (not by common agents) and therefore delayed until all lenders have achieved their desired allocation in order not to duplicate costs. Given EQT's global franchise, Fitch discounts the risk of it publicly flouting negative pledges by removing assets without repaying debt, or granting third-party mortgages, because of the reputational damage. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Lower market rent could lead to negative rating action. The change in model output that would apply with 1pp increase in cap rate assumptions produces the following rating: 'AA+sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Reducing vacancy or achieving significant rent increases following lease expiries could lead to positive rating action. The change in model output that would apply with 1ppt reduction in cap rate assumptions produces the following rating: 'AAAsf'/'AA+sf'/'A+sf'/'A-sf'/'BBBsf' KEY PROPERTY ASSUMPTIONS (all weighted by net estimated rental value; ERV) The weighted average rental value decline, structural vacancy and cap rate assumptions applied in its stable interest rate model-implied rating (MIR) analysis are summarised below. The ratings are up to three notches above the MIR to account for a secular shift in industrial occupational demand, as reflected in rental trend lines recalculated over the last 15 years only resulting in rental value decline assumptions lower than those disclosed below. WA depreciation: 2.8% Non-recoverable costs: EUR622,438 Fitch ERV: EUR28.4 million 'Bsf' WA cap rate: 7.0% 'Bsf' WA structural vacancy: 12.8% 'Bsf' WA rental value decline: 22.4% 'BBsf' WA cap rate: 5.7% 'BBsf' WA structural vacancy: 14.0% 'BBsf' WA rental value decline: 26.7% 'BBBsf' WA cap rate: 6.6% 'BBBsf' WA structural vacancy: 15.8% 'BBBsf' WA rental value decline: 28.2% 'Asf' WA cap rate: 7.7% 'Asf' WA structural vacancy: 17.3% 'Asf' WA rental value decline: 29.7% 'AAsf' WA cap rate: 8.4% 'AAsf' WA structural vacancy: 18.5% 'AAsf' WA rental value decline: 34.1% 'AAAsf' WA cap rate: 8.8% 'AAAsf' WA structural vacancy: 20.3% 'AAAsf' WA rental value decline: 38.8% USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E ("Form 15E") as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on certain characteristics with respect to the 22 properties in the portfolio. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. DATA ADEQUACY Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. =========================== U N I T E D K I N G D O M =========================== NO. 8 SOUND: Verulam Advisory Appointed as Joint Liquidators ------------------------------------------------------------ No. 8 Sound & Vision Limited (formerly Scramble Soho Limited), trading as No. 8, was placed into administration in the High Court of Justice, Business and Property Courts of England and Wales, Insolvency & Companies List (ChD), Case Number CR-2026-005206. Peter Nicholas Wastell and William Turner of Verulam Advisory were appointed as Joint Liquidators on July 3, 2026. The company specialized in video production activities, motion picture, video and television programme post-production activities, and sound recording and music publishing activities. Its registered office is at 8 Portland Mews, London, W1F 8JH. Its principal trading address is Units 5+6 and 8, Portland Mews, London, W1F 8JH. The Joint Liquidators can be contacted at: Peter Nicholas Wastell Verulam Advisory Second Floor, The Annexe New Barnes Mill Cottonmill Lane St Albans AL1 2HA -- and -- William Turner Verulam Advisory 4 Cedar Park Cobham Road Ferndown BH21 7SF For further details: The Joint Liquidators Email: info@verulamadvisory.co.uk Tel: 01727 701 788 Alternative contact: James Gibney SAFE DIG UTILITIES: RSM UK Appointed as Administrators ------------------------------------------------------ Safe Dig Utilities Ltd, trading as Safe Dig or SDU, was placed into administration in the High Court of Justice, Business and Property Courts in Manchester, Insolvency & Companies List (ChD), Case Number CR-2026-000586. Nick Edwards and Graham Bushby of RSM UK Restructuring Advisory LLP were appointed as Administrators on July 3, 2026. The company specialized in telecommunication infrastructure provision. Its registered office is at Unit 7 Lakeside Business Village, Fleming Road, Chafford Hundred, Grays, RM16 6EW. Its principal trading address is Hunts Hill Farm House, Aveley Road, Upminster, Essex, RM14 2TG. The Administrators can be contacted at: Nick Edwards RSM UK Restructuring Advisory LLP 4th Floor 100 Avebury Boulevard Milton Keynes MK9 1BP -- and -- Graham Bushby RSM UK Restructuring Advisory LLP 25 Farringdon Street London EC4A 4AB Further details: Matthew Woodcock RSM UK Restructuring Advisory LLP Landmark, St Peter's Square 1 Oxford Street Manchester M1 4PB Tel: 0161 830 4000 SHAWBROOK MORTGAGE 2022-1: Fitch Affirms CCsf Rating on Cl. F Notes ------------------------------------------------------------------- Fitch Ratings has affirmed Shawbrook Mortgage Funding 2022-1 PLC's class A to F notes, as detailed below. Entity/Debt Rating Prior ----------- ------ ----- Shawbrook Mortgage Funding 2022-1 PLC Class A XS2562973615 LT AAAsf Affirmed AAAsf Class B XS2562973706 LT AAAsf Affirmed AAAsf Class C XS2562973888 LT AA+sf Affirmed AA+sf Class D XS2562973961 LT A+sf Affirmed A+sf Class E XS2562974001 LT BBsf Affirmed BBsf Class F XS2562974183 LT CCsf Affirmed CCsf Transaction Summary The transaction is a static securitisation of buy-to-let (BTL) mortgages originated between 2016 and 2022 by Shawbrook Bank Limited, in England, Scotland and Wales. Shawbrook is the named servicer, although day-to-day servicing is delegated to Target Servicing Limited. KEY RATING DRIVERS Increasing CE: Credit enhancement (CE) has risen since the last review due to sequential amortisation and the general reserve fund, which increases as a percentage of the total notes' outstanding balance. CE increased across all notes, particularly for the class A to C notes by at least 2.5pp, supporting the affirmations. Alternative Prepayment Rates: The transaction contains a high proportion of fixed-rate loans subject to early repayment charges. The point at which these loans are scheduled to revert from a fixed rate to the relevant follow-on rate will likely determine when prepayments occur. About 76% of fixed-rate loans will revert over the next 24 months; Fitch has therefore applied an alternative high prepayment stress that tracks the fixed-rate reversion profile of the pool. The prepayment rate applied is floored at the high prepayment rate assumptions produced by ResiGlobal: UK and capped at a maximum rate of 40% a year. Ratings Below MIR: Arrears greater than three months have been on a decreasing trend, dropping to 1.6% as of February 2026 from 2.1% as of May 2025. Repossessions have started to increase in the last six months, leading to losses and an uncleared debit on the principal deficiency ledger at the June 2026 payment date. The concentration of fixed-rate loans reverting over the next 24 months will lead to higher prepayments and further compression of excess spread. Higher post-reversion interest rates could also lead to an increase in arrears if borrowers have difficulty meeting higher mortgage payments. To account for these risks and potential performance volatility following the rate resets, Fitch has assigned ratings up to three notches below the model implied ratings (MIR) for the class C to E notes. HMO Rental Yield Haircut: The high interest coverage ratio for the asset pool is linked to the higher rental yield of house in multiple occupation (HMO) properties, which make up 73% of the pool. However, these properties are complex to manage and may require higher maintenance costs. Fitch has therefore applied an approximately 25% haircut to the rental income of HMO properties. This broadly aligns with the stricter debt service coverage ratio requirement from Shawbrook than for standard properties, resulting in an adjusted interest coverage ratio of 108%. This is a variation to Fitch's criteria. HMO Valuation Haircut: Fitch has adjusted the valuation of large HMO properties by applying a 10% haircut. This is a variation to Fitch's criteria. These properties are typically valued with a yield-based approach, which may result in higher volatility depending on factors such as the occupation rate. Fitch believes the attractiveness of these properties may be driven by other factors than the typical drivers of housing demand such as the evolution of a specific population (students, care workers, seasonal workers). This market has a limited size and conversion costs may be needed to adapt these properties to more standard properties that could be sold to an owner occupier or non-HMO-investor. Regional Concentration: The pool contains a material concentration of loans originated in Scotland (31.7% by property count), which is captured by Fitch's criteria around regional concentration. Loans in Scotland are mainly simpler BTL loans and properties. There is no concentration of HMO properties in Scotland or in any other region. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The transaction's performance may be affected by adverse changes in market conditions and economic environment. Weakening economic performance is strongly correlated to increasing levels of delinquencies and defaults that could reduce CE available to the notes. Additionally, unanticipated declines in recoveries could result in lower net proceeds, which may make certain notes susceptible to negative rating action, depending on the extent of the decline in recoveries. Fitch found that a 15% increase in the weighted average foreclosure frequency (WAFF) and a 15% decrease in the weighted average recovery rate (WARR) decrease would imply the following: Class A / Class B / Class C / Class D / Class E / Class F AAAsf / AAAsf/ AA+sf / A+sf / B-sf / below CCCsf Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE and, potentially, upgrades. A decrease in the WAFF of 15% and an increase in the WARR of 15% would imply the following: Class A / Class B / Class C / Class D / Class E / Class F AAAsf / AAAsf/ AAAsf / AA+sf / A-sf /below CCCsf CRITERIA VARIATION Fitch applies a 10% valuation haircut to large HMO properties due to higher volatility from yield-based valuation methods and factors like occupancy. Demand on these properties may depend on niche population trends. Additionally, the market for large HMOs is fairly limited, and conversion to standard residential properties may require additional costs. Fitch applies a 25% haircut to HMO rental income, reflecting extra costs compared with standard BTL properties, which reduces the rental value used in Fitch's interest coverage ratio calculation. This approach is consistent with Shawbrook's stricter debt service coverage ratio requirements for HMOs. The application of the criteria variation resulted in a negative impact of up to five notches from the assigned ratings for the class C to E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. Prior to the transaction closing, Fitch conducted a review of a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. UK LOGISTICS 2026-3: S&P Assigns BB- (sf) Rating to Class E Notes ----------------------------------------------------------------- S&P Global Ratings has assigned its credit ratings to UK Logistics 2026-3 DAC's class A, B, C, D, and E notes. At closing, the issuer also issued unrated class X1 and X2 notes The transaction is backed by GBP603.0 million (80.1%) of a GBP753.0 million senior loan, which Deutsche Bank AG, London Branch, Standard Chartered Bank, and Qatar National Bank, London Branch advanced to Blackstone as part of its refinancing of a portfolio of U.K. industrial and logistics assets. Qatar National Bank retained GBP150 million of the senior loan at closing. The senior loan is secured on a portfolio of 39 U.K. industrial and logistics assets, and a development land property. The portfolio comprises approximately seven million square feet of gross leasable area and is valued at GBP1.1 billion as of April 2026. The senior loan-to-value (LTV) ratio is 66.3%. The loan has an initial term of two years with three one-year extension options, subject to the satisfaction of certain conditions being met. The senior loan is interest only and includes cash trap mechanisms triggered if the LTV ratio exceeds 80.0% or if the debt yield falls below 6.25%. Payments due under the loan facility agreement primarily fund the issuer's interest and principal payments due under the notes. The senior loan comprises a GBP732.5 million facility A and a GBP20.5 million facility B. Facility A will be used to refinance existing third-party debt. Facility B will be used to finance the development property and will be held back and advanced to the borrower when the development property reaches practical completion. As part of the EU, U.K., and U.S. risk retention requirements, the issuer and the issuer lenders, Deutsche Bank AG, London Branch and Standard Chartered Bank, entered into a GBP31.97 million (representing 5% of the securitized senior loan) issuer loan agreement, which ranks pari passu with the notes. At closing, the issuer lenders advanced the issuer loans to the issuer. The issuer applied the issuer loan proceeds as partial consideration for the purchase of the securitized senior loan from the loan sellers and to fund its portion of the liquidity reserve. S&P's ratings on the class A, B, C, D, and E notes address the issuer's ability to meet timely interest payments on the class A, B, C, and D notes, ultimate payment of interest on the class E notes, and payment of principal on the rated notes no later than the legal final maturity in May 2037. The legal final maturity date is initially May 2036. However, the servicer has the option to extend the loan once for up to 12 months after the loan's 2031 maturity date. Should the servicer choose to exercise this option, the legal final maturity date will be automatically extended to May 2037. S&P's ratings on the notes reflect its assessment of the underlying loan's credit, cash flow, and legal characteristics, and an analysis of the transaction's counterparty and operational risks. Ratings Class Rating* Amount (GBP) A AAA (sf) 359,200,000 X1 NR 100,000 X2 NR 100,000 B AA- (sf) 60,400,000 C A- (sf) 55,200,000 D BBB- (sf) 66,500,000 E BB- (sf) 65,850,000 *S&P's ratings address timely payment of interest on the class A, B, C, and D notes and ultimate payment of interest on the class E and payment of principal on the rated notes not later than the legal final maturity. NR--Not rated. ********* 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 2026. 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 * * *