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European CLO Performance Index Report Q2 2020


SF Credit Brief: SF New Issuance Was $59 Billion In April 2021, $216 Billion YTD, And Up 51% Year Over Year


Servicer Evaluation: Mount Street US (Georgia) LLP


Taking Stock Of The Fed's Policy Stance During The Current Recovery


AyT Caja Murcia I And II Spanish RMBS Ratings Raised Following Revised RMBS Criteria Revision

European CLO Performance Index Report Q2 2020

S&P Global Ratings' July 9, 2020 webcast "What's Next For European CLOs?," addressed key themes, challenges, and opportunities in the coming months for European collateralized loan obligations (CLOs). Specifically, we discussed CLO trading activity, the impact of COVID-19 on overcollateralization ratios, what could cause interest to start deferring, and key trends in European CLO portfolio overlap (topics covered in our recent publications, see "Related Research").

In the first half of the year, downgrades among speculative-grade companies rose markedly. Following this increase in negative rating actions on nonfinancial corporates in March and April, we looked at their impact on CLO portfolio exposures over 60 days and 180 days.

In this quarterly index publication, we look at some of the key metrics behind our ratings on the CLO notes. A month-to-month negative performance of these parameters could pressure the ratings on the notes.

In table 1 below, we show some selected credit metrics for 111 S&P Global Ratings-rated European CLOs that will be reinvesting for all of 2020 since the beginning of the year. We observe that since May, the average credit quality of reinvesting CLO portfolios has continued to stabilize following the slowdown in corporate rating downgrades and flattening of the 'CCC' curve.

Table 1

Selected Average Credit Metrics
'B-' (%) 'CCC' category (%) CLOs with greater than 7.5% 'CCC' assets Non performing category (%) CLOs with nonperforming Junior O/C cushion (%) WAP SPWARF Par change (%) CreditWatch negative (%) Negative outlook (%)
Jan. 3, 2020 18.44 3.19 2 0.10 15 4.24 98.35 2704 0.00 1.00 20.68
Jan. 31, 2020 18.95 2.73 1 0.10 16 4.27 99.00 2708 0.00 0.88 19.19
March 6, 2020 19.48 1.91 0 0.04 9 4.31 99.54 2698 0.00 3.69 22.39
April 3, 2020 19.28 6.57 38 0.08 16 4.09 88.91 2827 (0.07) 5.23 25.09
May 1, 2020 23.74 9.39 70 0.10 17 3.59 85.78 2926 (0.13) 6.74 35.26
May 29, 2020 24.59 8.68 62 0.09 16 3.53 86.19 2922 (0.15) 6.02 36.88
June 5, 2020 24.88 8.56 59 0.11 22 3.42 87.73 2920 (0.15) 6.42 37.05
June 12, 2020 24.69 8.75 61 0.17 32 3.35 88.38 2926 (0.16) 6.51 38.55
June 19, 2020 25.09 8.91 63 0.22 34 3.35 88.08 2923 (0.16) 6.76 38.93
June 26, 2020 25.52 8.90 63 0.23 35 3.35 88.02 2929 (0.16) 7.52 38.89
July 3, 2020 25.52 8.90 63 0.23 35 3.50 88.02 2929 (0.16) 7.51 39.24
July 10, 2020 25.06 9.80 71 0.32 50 3.50 90.96 2956 (0.16) 7.79 40.27
July 17, 2020 25.18 9.08 70 0.26 48 3.41 93.72 2941 (0.19) 7.50 39.17
July 24, 2020 25.43 8.54 63 0.42 42 3.44 94.40 2946 (0.22) 7.44 38.91
July 31, 2020 25.52 8.34 59 0.47 50 3.41 95.02 2947 (0.21) 7.36 38.90
Aug. 7, 2020 25.85 7.87 53 0.59 57 3.41 95.15 2949 (0.20) 7.38 38.86
Aug. 14, 2020 25.90 7.86 53 0.59 56 3.43 95.20 2952 (0.20) 7.37 38.86
Aug. 21, 2020 25.70 7.84 52 0.59 56 3.42 95.35 2949 (0.19) 7.42 38.68
Aug. 28, 2020 25.70 7.77 51 0.61 59 3.41 95.45 2948 (0.19) 7.41 38.70
Sept. 4, 2020 25.73 7.77 51 0.62 59 3.41 95.33 2951 (0.20) 7.41 38.70
Sept. 11, 2020 25.75 7.59 51 0.58 59 3.41 94.45 2946 (0.20) 7.42 38.62
Sept. 18, 2020 25.66 7.63 51 0.52 52 3.41 94.54 2942 (0.20) 7.41 38.23
Sept. 25, 2020 24.97 7.99 51 0.55 64 3.46 94.54 2946 (0.19) 7.31 38.12
CLO--collateralized loan obligation. O/C--Overcollateralization. SPWARF--S&P Global Ratings weighted average rating factor. WAP--Weighted average price. Pricing information is based on over 90% of the loans.

Nevertheless, speculative-grade corporate ratings are exposed to downside risk, particularly those within sectors that are most vulnerable to social distancing such as retail, consumer products, transportation, and leisure. We expect the European trailing 12-month speculative-grade corporate default rate to rise to 8.5% by June 2021 from 3.4% at the end of June 2020 (which has increased by nearly 50% from 2.3% over the last 12 months).

S&P Global Ratings acknowledges a high degree of uncertainty about the evolution of the coronavirus pandemic. The current consensus among health experts is that COVID-19 will remain a threat until a vaccine or effective treatment becomes widely available, which could be around mid-2021. We are using this assumption in assessing the economic and credit implications associated with the pandemic (see our research here: As the situation evolves, we will update our assumptions and estimates accordingly.

Eighteen CLO Tranches Downgraded By An Average Of One Notch

To date, we have placed 39 ratings from 29 European CLOs on CreditWatch negative (see "Related Research"), comprising 3% of our rated European CLO universe. In third-quarter 2020, we resolved the CreditWatch placements on 25 ratings, of which 18 (72%) were downgraded and 7 (28%) affirmed (see table 2 below and "Related Research").

Table 2

EMEA CLO CreditWatch Resolutions
Through Sept. 30, 2020
Rating category Affirmed One-notch downgrade Two-notch downgrade Total no. of actions
AAA - - - -
AA - - - -
A - - - -
BBB 2 2 - -
BB 5 11 2 18
B - 3 - 3
Total 7 16 2 25

The downgrades have largely been in the 'BB' space with an average of a one notch change. These reflected a combination of factors, primarily a decline in portfolio credit quality following downgrades, an increased exposure to 'CCC' category loans, as well as par loss from trading losses and defaults leading to lower credit enhancement. Although credit deterioration, which may be indicated by an increasing S&P Global Ratings' weighted-average rating factor (SPWARF), has been a key rating factor, the impact on CLO transactions has varied, depending on the initial structure and manager's subsequent strategy in managing the portfolios. For instance, some transactions were structured with higher levels of starting cushions. In others, a higher weighted-average spread or shorter weighted-average life compensated for the portfolio credit deterioration or increased risk of a higher WARF.

We expect to resolve the remaining CreditWatch placements within 90 days of the rating action after we complete a cash flow analysis and committee review for each of the affected transactions.

Updates On European CLO Documentation: Managers Seek Greater Distressed Asset Flexibility

After a sharp slowdown in March to May, European CLO issuance picked up from June bringing year-to-date issuance volume to €15.5 billion from 46 deals compared with €23.4 billion from 56 deals in the same period last year. Most of the new issue activity resulted from the terming out of existing warehouses with pre-COVID loans where the focus was to launch deals, even if the economics were not ideal. Nevertheless, investor appetite seems to be returning and arbitrage conditions improving with 'AAA' liability spreads significantly tightening away from the 200 basis points (bps) seen earlier in the year with the last couple of transactions pricing at 110 bps.

Within that, CLO documentation continues to evolve. Given the focus on overcollateralization tests, we are seeing proposed variations in certain definitions that would affect overcollateralization haircuts--for example, what would constitute a 'CCC' asset or a discount obligation. As negative rates look set to stay, we have also seen proposed changes to interest smoothing amount definitions to allow managers to reduce the amount of interest required to be trapped in the interest smoothing account.

The most significant change recently introduced to European CLO documentation is the increased distressed asset flexibility managers are seeking in anticipation of increased defaults in the next downturn. Standard CLO documentation has historically limited the ability of CLOs to participate in loan restructurings involving injection of new money, which has allowed non-CLO distressed debt investors to take advantage of such restrictions to extract value from CLOs through certain restructuring practices (see "Acosta Inc.'s Modern Day Bankruptcy: A CLO-Distressed Funds Clash," published May 7, 2020). The introduction of loss mitigation loans hence aims to lessen this risk and help CLOs maximize recoveries on their distressed credits.

Under the transaction documents of recent European CLO transactions with this feature, loss mitigation loans are typically defined as assets of an existing collateral obligation held by the issuer offered in connection with the bankruptcy, workout, or restructuring of such obligation, purchased to improve the recovery value of such related collateral obligation.

The purchase of loss mitigation loans is generally not subject to the reinvestment criteria or the eligibility criteria although it may be subject to some criteria such as senior or pari passu to the existing obligation. Often, the purchase receives no credit either in the principal balance definition or par coverage tests, although where the loss mitigation loan meets the eligibility criteria with certain exclusions, it is sometimes accorded defaulted treatment.

While the overall objective of loss mitigation loans is positive, it can also lead to par erosion, as additional funds will be placed with an entity that is under distress or in default. In addition, rather than the use of funds to deleverage, the purchases of such loans would also increase the level of nonperforming assets in the portfolio, which could increase the credit risk in the transaction despite the prospect of higher recoveries. Hence, this may cause greater volatility in our ratings if the positive effect of such loans do not materialize. The presence of a bucket, restrictions on the use of principal proceeds to purchase such assets, and limitations in reclassifying proceeds received from such assets from principal to interest in the transaction documents, help to mitigate the risk, in our view.

CLOs may purchase loss mitigation loans using either interest proceeds, principal proceeds, or amounts standing to the credit of the supplemental reserve account. To date, we have generally seen in recent European CLO transactions the usage of principal proceeds subject to (1) passing par coverage tests and the manager having built sufficient excess par in the transaction so that (2) the principal collateral amount is equal to or exceeding the portfolio's target par balance after the reinvestment.

In the transactions we have reviewed, interest proceeds may also be used to purchase loss mitigation loans. As these purchases are made directly from the interest account without going through the interest priority of payments, such payments are effectively senior in the waterfall. This may lead to insufficient interest to pay noteholders on the following interest payment date and also less interest to cure the coverage test hence affording less protection to senior noteholders. To mitigate this risk, transaction documents reviewed to date typically include the use of interest proceeds subject to (1) all coverage tests passing following the purchase, and (2) the manager determining there are sufficient interest proceeds to pay interest on all the rated notes on the upcoming payment date.

To protect the transaction from par erosion, we note that the transaction documents typically provide that any distributions received from loss mitigation loans which are either (1) purchased with the use of principal, or (2) purchased with interest or amounts in the supplemental account, but which have been afforded credit in the coverage test, to irrevocably form part of the issuer's principal account proceeds and cannot be recharacterized as interest.

As the ability to purchase loss mitigation loans is a fairly new concept in European CLOs, we expect more proposed variations in CLO documentation and for the language to continue to evolve. Therefore, it is important for investors and market participants to review the definitions and flow of funds in detail. Some particular factors to consider are what proceeds may be used to purchase such obligations and the limitations to such purchases. Another factor is the treatment of such assets in key CLO tests and which account the loss mitigation loan proceeds go to (principal, interest, or supplemental reserve account), as this also ultimately determines the risk-benefit balance of loss mitigation loans between debt and equity noteholders.

Measuring CLO Performance Using Key Metrics

CLO issuance has gained momentum over the past five years, and investors have become more familiar with CLO structures and the associated risks, as well as assessing and suitably measuring credit and cash flow risks.

Credit risk, which includes default risk and an increase in 'CCC' category rated assets in the portfolio, among others, can be mitigated by better measures on the cash flow side, like increased available credit enhancement, weighted-average spread, and recoveries, for example.

In this article, we display how these individual parameters have evolved over the last few months to broadly gauge the performance of European CLOs.

CLO Collateral Performance Deteriorates Further In Second-Quarter 2020

Overall, CLO performance in second-quarter 2020 deteriorated further since the previous three quarters, with an increase in defaulted and 'CCC' category rated assets, and worsening of the S&P Global Ratings' weighted-average rating factor (SPWARF), credit enhancement and overcollateralization cushions. Most of the other metrics we capture showed stable performance.

Collateral portfolios of older vintage cohorts are becoming more concentrated as the assets wind down and they approach their final maturities, while newer vintages are benefiting from still being in their reinvestment phases, when collateral managers can actively mitigate default risk through active trading. We attribute these trends more to the stage in a transaction's life cycle than to significant changes in the portfolios at the collateral level.

Credit Metrics

European CLO 2.0 collateral ratings

While CLOs enjoy the senior secured status of leveraged loans in the portfolio, it is important to note that these loans are issued to speculative-grade companies.

Underlying collateral ratings contribute significantly to the ratings on transactions that have closed since January 2013. Below we show the rating distribution of the CLO collateral portfolio for the different vintages in European CLO 2.0 transactions over a one-year period (see charts 1 to 7). Note that we have considered transactions that have been refinanced to be in the original vintage as when it was first issued. The CLO portfolio rating performance across all CLO vintages indicates stable performance.

Chart 1


Chart 2


Chart 3


Chart 4


Chart 5


Chart 6


Chart 7


Exposure to 'CCC' rated assets has increased

'CCC' category rated assets are an important measure of European CLO performance because an increase in these assets can indicate that the collateral portfolio's credit quality is worsening. The level of 'CCC' assets can also reduce O/C test cushions because they may not be carried at their full par value.

The percentage of assets rated in the 'CCC' category ('CCC+', 'CCC', or 'CCC-') has shown worse performance for the European CLO cohorts we track. These changes reflect rating migration in the underlying portfolios and may also depend on an individual transaction's pool composition, which is based on the CLO manager's strategy to manage the vehicle.

By vintage, the reported level of 'CCC' rated assets in European cash flow CLOs, as a percentage of total assets in June 2020, was:

  • 2013 vintage CLOs: 6.68% of total assets (up from 2.31% in March 2020);
  • 2014 vintage CLOs: 7.14% of total assets (up from 4.14% in March 2020);
  • 2015 vintage CLOs: 5.51% of total assets (up from 3.39% in March 2020);
  • 2016 vintage CLOs: 6.43% of total assets (up from 2.96% in March 2020);
  • 2017 vintage CLOs: 6.74% of total assets (up from 3.03% in March 2020);
  • 2018 vintage CLOs: 6.39% of total assets (up from 2.62% in March 2020); and
  • 2019 vintage CLOs: 4.13% of total assets (up from 1.56% in March 2020).

Chart 8


Individual CLOs exhibited some variances among European CLOs from the same vintages. These CLOs are more likely to breach their thresholds sooner than other types of CLOs.

Exposure to defaulted assets has increased but remains limited

CLOs performed well through the financial crisis and beyond. Defaulted assets were one of the key indicators of CLO performance because a defaulted asset may result in a loss of principal to the CLO and a corresponding decline in credit enhancement.

From March 2020 to June 2020, the percentage of defaulted assets (i.e., assets from obligors rated 'CC', 'C', 'SD' [selective default], or 'D') slightly increased for the all vintages.

As of June 2020, the percentage of defaulted assets in each underlying collateral portfolio was:

  • 2013 vintage CLOs: 0.30% of total assets (up from 0.29% in March 2020);
  • 2014 vintage CLOs: 0.60% of total assets (up from 0.02% in March 2020);
  • 2015 vintage CLOs: 0.61% of total assets (up from 0.16% in March 2020);
  • 2016 vintage CLOs: 0.16% of total assets (up from 0.00% in March 2020);
  • 2017 vintage CLOs: 0.31% of total assets (up from 0.05% in March 2020);
  • 2018 vintage CLOs: 0.28% of total assets (up from 0.06% in March 2020); and
  • 2019 vintage CLOs: 0.08% of total assets (up from 0.04% in March 2020).

These calculations show the proportion of assets that are currently in default, over total assets (not including principal cash).

Chart 9


S&P Global Ratings' weighted-average rating factor (SPWARF) worsens

Although CLOs are generally restricted to eligibility criteria that govern what assets can be part of their portfolios and set their limitations, it is challenging to size a portfolio's default risk during the typical four-year reinvestment period in which the collateral manager is allowed to actively trade assets. These trading activities could change the asset portfolio's composition significantly, thus increasing its risk profile and possibly the required par subordination.

The SPWARF provides an indication of the portfolio's overall credit quality. It is each asset's five-year default rate assumed in our corporate collateralized debt obligation (CDO) criteria, weighted by each asset's par balance, and multiplied by 10,000 (see the "Related Criteria" and "Related Research" sections).

In second-quarter 2020, the overall SPWARF increased to 2,917 from 2,915.

Chart 10


Weighted-average life (WAL) decreased

The WAL is the number of years between the current date and the maturity date of assets in the CLO portfolio.

At 4.96, the WAL is decreasing quarter on quarter.

Chart 11


Scenario default rates (SDRs) slightly improved

Together with the SPWARF and WAL, we use four other benchmarks (the three diversity measures and the default rate dispersion [DRD]) to produce the approximate 'AAA' SDR (i.e., the expected default levels for the portfolio under the 'AAA' stress scenarios).

While the SPWARF only looks at the credit rating on the assets, SDRs (or the expected target default rate) look into all six components when measuring the overall risk profile of a CLO portfolio (SPWARF + DRD + WAL + the three diversity measures).

On average, the current portfolio credit risk ('AAA' SDRs) has slightly improved since first-quarter 2020, decreasing to 64.36% from 64.56%.

Chart 12


Cash Flow Metrics

Credit enhancement has slightly worsened

Our analysis of CDO transactions, as in our other structured finance ratings, focuses on how much credit enhancement is needed for a given level of credit risk to achieve a specific rating. Typically, credit enhancement is provided by a combination of overcollateralization/subordination and cash collateral. In this case, credit enhancement is the percentage of total performing assets plus cash, minus the tranche balance (including senior and pari passu note balance), divided by total performing assets, plus cash plus recovery on defaulted assets. The credit enhancement across the capital structure has slightly worsened due to a combination of trading losses and an increase in defaulted assets since first-quarter 2020.

Table 3

Credit Enhancement By Rating Level
Vintage Q3 2019 yearly average Q4 2019 yearly average Q1 2020 yearly average Q2 2020 yearly average
2016 40.60 40.49 40.43 40.12
2017 41.15 41.45 41.49 41.10
2018 42.20 42.02 41.90 41.45
2019 39.65 38.84 38.52
Vintage Q3 2019 yearly average Q4 2019 yearly average Q1 2020 yearly average Q2 2020 yearly average
2016 27.81 27.71 27.62 27.23
2017 27.92 27.99 27.95 27.41
2018 28.01 27.93 27.79 27.23
2019 28.63 28.27 27.98
Vintage Q3 2019 yearly average Q4 2019 yearly average Q1 2020 yearly average Q2 2020 yearly average
2016 21.75 21.64 21.55 21.11
2017 21.19 21.20 21.12 20.51
2018 21.31 21.22 21.06 20.45
2019 21.54 21.45 21.15
Vintage Q3 2019 yearly average Q4 2019 yearly average Q1 2020 yearly average Q2 2020 yearly average
2016 16.88 16.73 16.64 16.17
2017 16.23 16.07 15.93 15.22
2018 16.06 15.96 15.79 15.14
2019 15.20 15.26 14.90
Vintage Q3 2019 yearly average Q4 2019 yearly average Q1 2020 yearly average Q2 2020 yearly average
2016 10.71 10.65 10.54 10.03
2017 10.48 10.39 10.27 9.56
2018 10.49 10.38 10.20 9.50
2019 9.89 9.87 9.47
Vintage Q3 2019 yearly average Q4 2019 yearly average Q1 2020 yearly average Q2 2020 yearly average
2016 7.83 7.75 7.64 7.11
2017 7.52 7.40 7.27 6.53
2018 7.60 7.48 7.30 6.58
2019 7.37 7.32 6.89
Weighted-average spread followed recent quarterly trends

Spreads vary based on a variety of factors, including the levels of relative liquidity for leveraged loans or the actual and perceived level of credit risk in the leveraged loan market, among others.

Over the past two to three years, leveraged loans have refinanced at a lower cost, leading to increased difficulty in managing the weighted-average spread test in CLOs and in maintaining the weighted-average cost of debt and a healthy return to equity. Consequently, weighted-average spreads are monitored closely in CLOs. If this measure decreases significantly, the risk of a negative rating action on the notes would increase.

On average, the weighted-average spread has remained stable over the past three quarters, which has helped CLO managers manage their weighted-average spread tests.

Chart 13


Senior O/C ratios have worsened

The senior O/C ratio test is a par value test to protect senior noteholders. Declines in the senior O/C ratio test results can indicate decreasing credit quality of the CLO. The O/C ratio is the difference between the O/C test calculated for a particular tranche and the trigger associated with it. Breach of these triggers will mean that senior notes are repaid (until the tests are met again), or if the transaction is in its reinvestment period, the proceeds due on junior notes are either invested in substitute collateral or used to repay the notes.

The senior O/C ratio test cushions have reduced for all the cohorts due to an increase in defaulted and "CCC" category assets (see chart 14).

The senior O/C ratio test cushions (based on reported information) as of June 2020 were:

  • 2013 vintage CLOs: 5.68% (down from 10.78% in March 2020);
  • 2014 vintage CLOs: 4.40% (down from 12.73% in March 2020);
  • 2015 vintage CLOs: 7.05% (down from 8.65% in March 2020);
  • 2016 vintage CLOs: 8.50% (down from 9.71% in March 2020);
  • 2017 vintage CLOs: 7.47% (down from 9.52% in March 2020);
  • 2018 vintage CLOs: 6.64% (down from 9.26% in March 2020); and
  • 2019 vintage CLOs: 8.82% (down from 9.57% in March 2020).

Chart 14


Subordinated O/C ratios have worsened

The subordinated O/C ratio test is the par value test for the junior notes in the CLO. Failure to satisfy this test will typically cause interest and principal to be redirected to pay down the most-senior class of notes until the test is satisfied.

From March 2020 to June 2020, the subordinated O/C ratios has reduced for all the cohorts (see chart 15).

As of June 2020, the subordinated O/C ratio test cushions (based on reported information) were:

  • 2013 vintage CLOs: 1.42% (down from 4.17% in March 2020);
  • 2014 vintage CLOs: 0.50% (down from 3.86% in March 2020);
  • 2015 vintage CLOs: 2.31% (down from 3.43% in March 2020);
  • 2016 vintage CLOs: 3.57% (down from 4.47% in March 2020);
  • 2017 vintage CLOs: 2.81% (down from 4.05% in March 2020);
  • 2018 vintage CLOs: 2.10% (down from 4.08% in March 2020); and
  • 2019 vintage CLOs: 3.77% (down from 4.47% in March 2020).

Chart 15



Our European CLO performance index report provides aggregate performance statistics across most of our rated European cash flow CLO transactions backed primarily by corporate loans. We provide this information to help market participants track the overall performance of European cash flow CLO transactions and to benchmark the performance of the transactions they follow against the performance of cohorts of similar transactions.

Our report highlights what we view as a number of key risk areas for the transactions, and which we use as part of our analysis of the credit quality of securitized portfolios and of the transactions' payment structure and cash flow mechanics. These include rating migration within the underlying collateral portfolios, as well as other information relevant to the sector.

We divide the performance information in the CLO indexes into cohorts, each containing data for most of the European CLO transactions we rated and issued in a specific vintage year. We collect the performance information from transaction-level performance data in our CDO surveillance databases.


Appendix 1

EMEA CLO Corporate Rating Actions (From June 20, 2020–Sept. 25, 2020)
Action date Issuer GIC sector To From No. of European CLOs with exposure Reason COVID-19-related
June 23, 2020 Comet Bidco Limited Media CCC+/Negative B-/Watch Neg 7 Weaker Liquidity And Delays And Cancellations Of Shows Yes
June 24, 2020 Global Blue Acquisition B.V. Internet And Catalog Retail B/Watch Neg B+/Stable 36 Slow Recovery In International Travel;Refinancing Risk Yes
June 24, 2020 Promotora De Informaciones S.A. Media CCC+/Negative B-/Watch Neg 27 Steep Leverage No
June 25, 2020 Jacobs Douwe Egberts International B.V. Food Products BB+/Positive BB/Watch Pos 37 IPO Completion Yes
June 26, 2020 Ashland Global Holdings Inc. Chemicals BB+/Negative BB+/Stable 8 Weak End-Market Demand Yes
June 26, 2020 Cineworld Group PLC Entertainment CCC+/Stable CCC+/Watch Neg 19 Improving Liquidity Yes
June 29, 2020 Selecta Group B.V. Internet And Catalog Retail CCC-/Watch Neg B-/Negative 12 Tightening Liquidity And Restructuring Risk Yes
June 29, 2020 Traviata B.V. Media B/Negative B/Stable 9 Weaker Credit Metrics Yes
July 1, 2020 Ineos Enterprises Holdings Ltd. Chemicals BB/Watch Neg BB/Negative 95 BP Chemicals Acquisition Announcement Yes
July 1, 2020 Ineos Group Holdings S.A. Chemicals BB/Watch Neg BB/Negative 1 BP Chemicals Acquisition Announcement Yes
July 1, 2020 Inovyn Finance Plc Chemicals BB-/Watch Neg BB-/Stable 78 BP Chemicals Acquisition Announcement Yes
July 3, 2020 DXC Technology Company IT Services BBB-/Stable BBB/Negative 1 Uncertain Long-Term Business Prospects No
July 3, 2020 RGIS Holdings LLC Commercial Services And Supplies B-/Negative D/NM 3 Debt Restructuring Yes
July 3, 2020 Technicolor S.A. Entertainment CC/Watch Neg CCC-/Negative 29 Announced Debt To Equity Swap Yes
July 8, 2020 Coty Inc. Personal Products B-/Stable B/Watch Neg 56 High Leverage Yes
July 8, 2020 Paccor Packaging Gmbh Containers And Packaging B/Negative B/Stable 16 Lower Profitability And Cash Flows Yes
July 9, 2020 Casper Midco SAS Hotels, Restaurants And Leisure CCC+/Stable B-/Watch Neg 54 COVID-19 Effects Yes
July 9, 2020 Mediarena Acquisition B.V. Entertainment NR CCC+/Watch Pos 10 Acquisition By Banijay Yes
July 10, 2020 Pinnacle Bidco PLC Hotels, Restaurants And Leisure CCC+/Developing B-/Watch Neg 1 COVID-19 Impact Yes
July 11, 2020 Carlson Travel Inc. Hotels, Restaurants And Leisure CC/Negative CCC/Negative 12 Debt Exchange Announcement Yes
July 13, 2020 International Park Holdings B.V. Hotels, Restaurants And Leisure B-/Negative B-/Watch Neg 61 COVID-19 pandemic Yes
July 14, 2020 Inter Media And Communication S.P.A. Project Leisure And Gaming B+/Negative B+/Watch Neg 5 Criteria Correction Yes
July 14, 2020 Mulhacen Pte. Ltd. Banks CCC+/Negative B-/Negative 6 Pressured Debt-Servicing Capacity Yes
July 15, 2020 Asr Media And Sponsorship S.P.A. Project Leisure And Gaming B/Negative B+/Watch Neg 11 Operations and financial conditions have weakened Yes
July 16, 2020 Codere S.A. Hotels, Restaurants And Leisure CC/Negative CCC-/Negative 19 Proposed Debt Restructuring Yes
July 16, 2020 Elis S.A. Commercial & Professional Services BB/Stable BB/Negative 1 Improved Liquidity Yes
July 17, 2020 Stonegate Pub Co. Ltd. Hotels, Restaurants And Leisure NR CCC+/Negative 1 Rating Withdrawn At Issuer's Request No
July 20, 2020 IHO Verwaltungs Gmbh Auto Components BB+/Stable BBB-/Watch Neg 18 Weaker Credit Metrics From COVID-19 Yes
July 20, 2020 Schaeffler AG Auto Components BB+/Stable BBB-/Watch Neg 6 Weaker Credit Metrics From COVID-19 Yes
July 21, 2020 Boluda Towage S.L. Marine BB-/Negative BB-/Stable 89 Delayed Improvement In Credit Metrics Yes
July 22, 2020 Delachaux S.A. Machinery B/Stable B+/Stable 88 Weaker Profitability And Credit Metrics Yes
July 23, 2020 Diebold Nixdorf Inc. Technology Hardware, Storage And Peripherals B-/Stable B-/Negative 4 Debt Deal Yes
July 23, 2020 Garrett Motion Inc. Auto Components BB-/Negative BB-/Watch Neg 24 Successfully amended its covenants Yes
July 28, 2020 Galaxy Bidco Ltd. Diversified Consumer Services B/Negative B/Stable 38 Delayed Improvement To Cash Generation Yes
July 28, 2020 Netflix Inc Entertainment BB/Stable BB-/Stable 6 Improved Free Operating Cash Flow Yes
July 28, 2020 Novem Group Gmbh Distributors B+/Negative B+/Watch Neg 16 Expected Cash Flow Resilience Yes
July 28, 2020 Koos Holding Cooperatief U.A. Media B/Negative B/Watch Neg 26 Planned Acquisition By KKR Yes
Aug. 4, 2020 Amc Entertainment Holdings Inc. Entertainment SD CC/Negative 1 Distressed Exchange Yes
Aug. 5, 2020 Amer Sports Holding 1 Oy Leisure Products B-/Stable B-/Negative 69 Reduced Risk Of Covenant Breach Yes
Aug. 6, 2020 Aston Martin Holdings (Uk) Ltd. Automobiles CCC/Negative CCC-/Watch Neg 1 Equity Raise Yes
Aug. 6, 2020 Gestamp Automocion S.A. Auto Components BB-/Stable BB/Watch Neg 7 Due To COVID-19 Drop In Earnings Yes
Aug. 6, 2020 Go Wireless Holdings, Inc. Specialty Retail B/Negative B/Watch Neg 1 Anticipated Recovery In Credit Metrics Yes
Aug. 7, 2020 Amc Entertainment Holdings Inc. Entertainment CCC+/Watch Neg SD 1 Debt Exchange Yes
Aug. 7, 2020 Avantor Funding, Inc. Life Sciences Tools And Services BB-/Positive B+/Positive 38 Improving Cashflows Yes
Aug. 7, 2020 Kongsberg Automotive Asa Distributors B-/Negative B-/Watch Neg 12 Better Liquidity And 2020 Forecasts Yes
Aug. 7, 2020 Option Care Health Inc. Health Care Providers And Services B-/Positive B-/Stable 3 Improved Credit Metrics Yes
Aug. 11, 2020 Ford Motor Credit Co. LLC Consumer Finance BB+/Negative BB+/Watch Neg 9 Severe year-over-year revenue decline due to Plant shutdowns during the COVID-19 pandemic Yes
Aug. 11, 2020 General Motors Financial Co. Inc. Consumer Finance BBB/Negative BBB/Watch Neg 1 Plant shutdowns that arose from the COVID-19 pandemic Yes
Aug. 11, 2020 Gtt Communications, Inc. Diversified Telecommunication Services CCC+/Watch Neg CCC+/Negative 52 Delayed Financial Statement Filing Yes
Aug. 12, 2020 Atlantia Spa Transportation Infrastructure BB-/Developing BB-/Watch Neg 5 Potential ASPI Settlement Yes
Aug. 12, 2020 Autostrade Per I'Italia Spa Transportation Infrastructure BB-/Developing BB-/Watch Neg 5 Potential ASPI Settlement Yes
Aug. 13, 2020 Distribuidora Internacional De Alimentacion S.A. Food And Staples Retailing CC/Negative CCC/Negative 1 Announced Bond Tender Offer Yes
Aug. 15, 2020 Carlson Travel Inc. Hotels, Restaurants And Leisure NR CC/Negative 12 Withdrawn At Issuer's Request Yes
Aug. 17, 2020 Tele Columbus AG Media B-/Stable B-/Watch Neg 63 Better Liquidity Yes
Aug. 17, 2020 Aramark Hotels, Restaurants And Leisure BB-/Stable BB/Watch Neg 1 Coronavirus-Related Demand Drop Yes
Aug. 19, 2020 Takko Fashion S.A.R.L. Specialty Retail CCC-/Negative SD 6 Interest Payment Resumption Yes
Aug. 20, 2020 Cirsa Enterprises S.L.U. Hotels, Restaurants And Leisure B-/Watch Neg B-/Negative 73 Negative Free Cash Flow And Uncertain Recovery Yes
Aug. 20, 2020 Tenneco Inc. Auto Components B/Negative B/Watch Neg 35 Flexed its cost structure and achieved positive adjusted EBITDA Yes
Aug. 21, 2020 Edreams Odigeo S.A. Internet And Catalog Retail B-/Negative B/Watch Neg 5 Slower Recovery Prospects ESG Factor: Health & Safety Yes
Aug. 22, 2020 Getty Images Inc. Interactive Media And Services B-/Negative B-/Watch Neg 16 Adequate Liquidity And Cost Cuts Yes
Aug. 24, 2020 Rain Carbon Inc. Chemicals B+/Negative B+/Stable 52 Prolonged Operational Weakness Yes
Aug. 25, 2020 Cemex Inc. Construction Materials BB/Negative BB/Watch Neg 1 Persisting COVID-19 Risks Yes
Aug. 25, 2020 Demire Deutsche Mittelstand Real Estate AG Real Estate Management And Development BB/Negative BB/Stable 3 Planned Dividend Distribution Yes
Aug. 26, 2020 Airxcel Inc. Machinery B-/Stable B-/Watch Neg 2 COVID-19-Related recreational vehicle(RV) Demand Yes
Aug. 28, 2020 Samsonite International S.A. Textiles, Apparel And Luxury Goods B/Negative BB-/Negative 1 Weaker-Than-Expected Recovery Yes
Sep. 1, 2020 The Knot Worldwide Inc. Interactive Media And Services B/Negative B/Watch Neg 1 Disruption To Wedding Season Yes
Sep. 3, 2020 Sappi Ltd. Paper And Forest Products BB-/Stable BB/Negative 10 COVID-19 Stress Yes
Sep. 3, 2020 Teva Pharmaceutical Industries Ltd. Pharmaceuticals BB-/Stable BB/Watch Neg 11 Rising Litigation Risks Yes
Sep. 4, 2020 Adient PLC Auto Components B+/Negative B+/Watch Neg 14 Plant shutdowns arising from the COVID-19 pandemic Yes
Sep. 4, 2020 Garrett Motion Inc. Auto Components B/Watch Neg BB-/Negative 27 News Of Potential Balance Sheet Restructuring Yes
Sep. 4, 2020 Ignition Topco BV Chemicals B-/Stable B/Negative 33 Expected Weaker Earnings Yes
Sep. 4, 2020 Siteone Landscape Supply, Inc. Trading Companies And Distributors BB-/Positive BB-/Stable 1 Improved Leverage Yes
Sep. 4, 2020 Trivium Packaging Finance B.V. Containers And Packaging B/Stable B+/Stable 43 Higher-Than-Expected Leverage Yes
Sep. 5, 2020 Cabot Financial Ltd. Consumer Finance BB-/Stable BB-/Negative 45 Funding Structure Consolidation Yes
Sep. 7, 2020 Global Blue Acquisition B.V. Internet And Catalog Retail NR B/Watch Neg 38 Withdrawn At Company's Request Yes
Sep. 9, 2020 Swissport Financing S.A R.L. Capital Markets SD CCC/Watch Neg 14 Super Senior Secured Debt Issuance Yes
Sep. 9, 2020 The Hut Group Ltd. Internet And Catalog Retail B-/Watch Pos B-/Stable 61 Announced IPO And Prospects Of Debt Reduction Yes
Sep. 10, 2020 Advantage Sales & Marketing Inc. Media CCC+/Watch Pos CCC+/Watch Dev 3 Expected credit metric improvement from debt reduction Yes
Sep. 10, 2020 Keter Group B.V. Household Durables B-/Stable CCC+/Stable 39 Improved Cash Flow And Performance Yes
Sep. 10, 2020 Selecta Group B.V. Internet And Catalog Retail CC/Watch Neg CCC-/Watch Neg 12 Announced Distressed Exchange Offer Yes
Sep. 11, 2020 Iqor Holdings Inc. Commercial Services And Supplies D CC/Negative 2 Chapter 11 Filing Announcement Yes
Sep. 11, 2020 Motion Midco Ltd Hotels, Restaurants And Leisure CCC+/Stable B/Watch Neg 89 Expected Delayed Recovery Yes
Sep. 11, 2020 Piolin Bidco S.A.U. Hotels, Restaurants And Leisure CCC+/Negative B-/Watch Neg 84 Impact of COVID-19 Yes
Sep. 11, 2020 Rolls Royce PLC Aerospace And Defense BB-/Watch Neg BB/Negative 2 Impact of COVID-19 No
Sep. 11, 2020 Station Casinos LLC Hotels, Restaurants And Leisure B+/Negative B+/Watch Neg 1 Supporting good free operating cash flow and potential leverage improvement Yes
Sep. 14, 2020 Cassini SAS Media CCC/Negative B-/Watch Neg 44 Tight Liquidity After Show Postponements Yes
Sep. 14, 2020 Maxeda Diy Group B.V. Specialty Retail CCC+/Watch Pos CCC+/Negative 2 Reported robust earnings growth over the COVID-19 lockdown period Yes
Sep. 15, 2020 Distribuidora Internacional De Alimentacion S.A. Food And Staples Retailing SD CC/Negative 1 Debt Exchange Completion Yes
Sep. 15, 2020 Europcar Mobility Group Road And Rail CC/Negative CCC+/Negative 5 Intent To Restructure Debt Yes
Sep. 15, 2020 Marcel Lux Iv Sarl Software B/Negative B/Stable 38 Rancher Acquisition Yes
Sep. 18, 2020 Coherent, Inc. Semiconductors And Semiconductor Equipment BB/Stable BB+/Stable 35 Ongoing Performance Weakness Yes
Sep. 18, 2020 GVC Holdings PLC Hotels, Restaurants And Leisure BB/Stable BB/Positive 96 Expected Delay in Deleveraging Yes
Sep. 21, 2020 International Game Technology PLC Hotels, Restaurants and Leisure BB/Negative BB/Watch Neg 36 Better Results despite significant operating pressure from Pandemic Yes
Sep. 23, 2020 Technicolor S.A. Entertainment SD CC/Watch Neg 28 Completion of Debt-to-Equity Swap Yes
Sep. 24, 2020 Garrett Motion Inc. Auto Components D/-- B/Watch Neg 26 Filing for bankruptcy protection under Chapter 11 of the U.S. Bankruptcy Code Yes
Sep. 25, 2020 CHG PPC Parent LLC Food Products B/Stable B-/Negative 28 Stronger-than-expected recovery in the foodservice business Yes
Sep. 25, 2020 EasyJet PLC Airlines BBB-/Negative BBB-/Watch Neg 5 Sharp Fall In Air Passenger Traffic Due To COVID-19 Yes

Appendix 2

Performing Public Issuers Rated 'B-' Or Lower In European CLO Deals As Of Sept 25, 2020
Issuer Issuer credit rating Outlook/CreditWatch GIC sector Country Principal funded balance (€) Rank order
CAB B- Stable Food And Staples Retailing France 476,712,387 1
Sapphire Bidco B.V. B- Stable Commercial services and supplies Netherlands 278,691,036 2
Speedster Bidco Gmbh B- Stable Internet and catalog retail Germany 242,168,747 3
Rubix Group Finco Ltd. B- Negative Trading companies and distributors U.K. 227,025,029 4
Piolin Bidco S.A.U. CCC+ Negative Hotels, restaurants and leisure Spain 221,090,671 5
IGT Holding IV AB B- Stable Software Sweden 217,462,117 6
Ammega Group B.V. B- Stable Machinery Netherlands 217,369,219 7
Sunshine Luxembourg Vii S.A R.L. B- Stable Personal products Switzerland 197,818,000 8
Bbd Bidco Ltd. B- Negative Commercial services and supplies U.K. 196,680,981 9
Tele Columbus AG B- Stable Media Germany 185,413,283 10
Solera Holdings Inc. B- Negative Software U.S.A. 184,563,816 11
International Park Holdings B.V. B- Negative Hotels, restaurants and leisure Spain 179,548,587 12
Kloeckner Pentaplast Of America Inc. B- Negative Containers and packaging U.S.A. 172,002,547 13
Perstorp Holding Ab (Publ) B- Negative Chemicals Sweden 169,558,623 14
Coty Inc. B- Stable Personal products U.S.A. 169,280,750 15
Antigua Bidco Ltd B- Stable Pharmaceuticals U.K. 168,262,444 16
Breitling Financing S.A R.L. B- Stable Textiles, apparel and luxury goods Switzerland 157,010,064 17
Hurtigruten Group AS CCC+ Negative Marine Norway 150,241,631 18
Informatica LLC B- Stable It services U.S.A. 149,086,632 19
Lernen Bidco Ltd. B- Stable Diversified consumer services U.K. 143,931,989 20
Diamond (Bc) B.V. CCC+ Negative Household products Netherlands 142,069,603 21
Awaze Ltd. B- Negative Hotels, restaurants and leisure U.K. 119,649,568 22
Aenova Holding Gmbh B- Stable Pharmaceuticals Germany 118,960,000 23
Keter Group B.V. B- Stable Household durables Netherlands 116,920,425 24
Gamma Infrastructure Iii Bv B- Stable Diversified telecommunication services Netherlands 114,163,946 25
Dexko Global Inc. B- Negative Auto components U.S.A. 113,846,135 26
Cassini SAS CCC Negative Media France 105,364,582 27
L1R Hb Finance Ltd CCC+ Stable Specialty retail U.K. 105,315,141 28
Saphilux S.A.R.L. B- Stable Capital markets Luxembourg 104,354,384 29
Diebold Nixdorf Inc. B- Stable Technology hardware, storage and peripherals U.S.A. 101,976,232 30
Promotora De Informaciones S.A. CCC+ Negative Media Spain 101,115,419 31
Vue International Bidco Plc B- Negative Entertainment U.K. 98,397,737 32
Excelitas Technologies Corp. B- Stable Electronic equipment, instruments and components U.S.A. 95,036,788 33
Haya Real Estate S.A.U B- Negative Real estate management and development Spain 87,523,000 34
Centrient Holding B.V. B- Stable Pharmaceuticals Netherlands 87,303,866 35
Asp Unifrax Holdings, Inc. CCC+ Negative Trading companies and distributors U.S.A. 85,575,403 36
Ghd Verwaltung Gesundheits Gmbh Deutschland Gmbh B- Stable Health care equipment and supplies Germany 82,423,000 37
Deerfield Dakota Holding Llc B- Stable Professional services U.S.A. 80,986,000 38
Aruba Investments Inc. B- Stable Chemicals U.S.A. 79,256,515 39
Everest Bidco SAS B- Stable Electronic equipment, instruments and components France 78,905,565 40
Faerch Bidco Aps B- Stable Containers and packaging Denmark 77,505,180 41
Sisaho International B- Negative Insurance France 68,324,858 42
Getty Images Inc. B- Negative Interactive media and services U.S.A. 62,015,220 43
Novafives B- Stable Machinery France 61,201,000 44
Vincent Bidco Bv (Nl) B- Stable Commercial services and supplies Netherlands 55,605,000 45
Rodenstock Gmbh B- Stable Health care equipment and supplies Germany 46,619,701 46
Promontoria Holding 264 B.V. B- Negative Air freight and logistics Netherlands 43,889,000 47
Capri Acquisitions Bidco Limited B- Stable Professional services U.K. 39,947,393 48
Trident Tpi Holdings, Inc. B- Negative Containers and packaging U.S.A. 39,737,379 49
Phm Netherlands Midco B.V. B- Stable Chemicals Netherlands 31,161,900 50
Advanz Pharma Corp B- Stable Pharmaceuticals Canada 30,165,870 51
Flint Holdco S.A R.L. CCC+ Negative Commercial services and supplies Luxembourg 30,015,283 52
Naviera Armas, S.A. B- Negative Marine Spain 28,227,000 53
Foodco Bondco SAU CCC- Negative Hotels, restaurants and leisure Spain 27,668,000 54
Catluxe Sarl CCC+ Negative Textiles, apparel and luxury goods Luxembourg 26,500,000 55
Grupo Antolin Irausa Sa B- Negative Auto components Spain 26,090,000 56
Mangrove Luxco Iii Sarl B- Stable Machinery Luxembourg 24,714,870 57
Lima Corporate S.P.A. B- Stable Health care equipment and supplies Italy 24,645,000 58
Monitchem Holdco 2 S.A. B- Stable Chemicals Luxembourg 23,308,000 59
Veritas Bermuda Ltd. B- Negative Software Bermuda 19,887,000 60
Norican A/S B- Negative Machinery Denmark 15,695,000 61
Comet Bidco Limited CCC+ Negative Media U.K. 14,579,360 62
Diaverum Holding Sarl B- Stable Health care providers and services Luxembourg 13,000,000 63
Marcolin SpA B- Negative Health care equipment and supplies Italy 12,821,000 64
Burger King France SAS B- Negative Hotels, restaurants and leisure France 9,900,000 65
Hgim Corp. CCC+ Negative Marine U.S.A. 8,389,671 66
Pro.Gest SpA CCC+ Negative Containers and packaging Italy 8,200,000 67
Advantage Sales & Marketing Inc. CCC+ Positive Media U.S.A. 7,474,641 68
Werner FinCo LP B- Negative Commercial services and supplies U.S.A. 7,340,903 69
Edreams Odigeo S.A. B- Negative Internet and catalog retail Luxembourg 6,500,000 70
Brand Industrial Services, Inc. B- Negative Construction and engineering U.S.A. 6,458,303 71
U.S. Renal Care Inc. B- Stable Health care providers and services U.S.A. 6,283,613 72
Holley Purchaser, Inc. B- Stable Auto components U.S.A. 6,238,457 73
Air Methods Corporation B- Stable Health care providers and services U.S.A. 6,057,198 74
Envision Healthcare Corp. CCC Negative Health care providers and services U.S.A. 5,821,008 75
Sgl Carbon SE CCC+ Stable Electrical equipment Germany 5,810,000 76
Schoeller Packaging B.V. B- Negative Containers and packaging Netherlands 5,000,000 77
Citgo Petroleum Corp. B- Stable Oil, gas and consumable fuels U.S.A. 4,986,751 78
Mohegan Tribal Gaming Authority CCC+ Negative Hotels, restaurants and leisure U.S.A. 4,937,483 79
Groupe Ecore Holding CCC+ Stable Commercial services and supplies France 4,400,000 80
Titlemax Finance Corp B- Stable Consumer finance U.S.A. 4,228,196 81
Team Health Holdings, Inc. B- Negative Health care providers and services U.S.A. 3,847,823 82
Option Care Health Inc. B- Positive Health care providers and services U.S.A. 3,790,070 83
Shearer'S Foods, Inc. B- Stable Food products U.S.A. 3,648,306 84
Jazz Acquisition Inc. B- Negative Aerospace and defense U.S.A. 3,488,304 85
Downstream Development Authority CCC Negative Hotels, restaurants and leisure U.S.A. 3,380,995 86
Ht Troplast Gmbh B- Stable Chemicals Germany 3,000,000 87
Amc Entertainment Holdings Inc. CCC+ Negative Entertainment U.S.A. 2,627,050 88
First American Payment Systems LP B- Negative It services U.S.A. 2,530,575 89
Transportes Aereos Portugueses, S.A. B- Negative Airlines Portugal 2,500,000 90
Qualtek Usa, LLC B- Negative Construction and engineering U.S.A. 2,488,131 91
Zephyr Midco 2 Ltd. B- Stable Interactive media and services U.K. 2,270,700 92
Raffinerie Heide Gmbh CCC+ Stable Oil, gas and consumable fuels Germany 2,250,000 93
Minotaur Acquisition, Inc. B- Stable Capital markets U.S.A. 2,027,758 94
Kirk Beauty One Gmbh CCC+ Negative Specialty retail Germany 1,943,000 95
Pregis Topco Corporation B- Negative Containers and packaging U.S.A. 1,691,278 96
Southern Graphics Inc. CCC+ Negative Commercial services and supplies U.S.A. 1,688,000 97
Lago Resort & Casino CCC Negative Hotels, restaurants and leisure U.S.A. 1,660,169 98
Nordex Se B- Stable Electrical equipment Germany 1,600,000 99
Safety Products/Jhc Acquisition Corp. B- Negative Metals and mining U.S.A. 1,252,757 100
Forming Machining Industries Holdings, LLC CCC+ Negative Aerospace and defense U.S.A. 1,248,076 101
Wireco Worldgroup Inc. B- Negative Metals and mining U.S.A. 1,207,274 102
Dynasty Acquisition Co., Inc. B- Negative Aerospace and defense U.S.A. 877,515 103
Lsf9 Balta Issuer S.A. B- Negative Household durables Belgium 810,000 104
Airxcel Inc. B- Stable Machinery U.S.A. 796,475 105
Belk, Inc. CCC Negative Multiline Retail U.S.A. 639,514 106
NA Rail Hold Co LLC B- Stable Transportation infrastructure U.S.A. 420,389 107
Viskase Companies Inc. CCC Negative Containers and packaging U.S.A. 339,927 108

Related Criteria

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The author would also like to thank Harshala Koyande, and Sagar Shinde for their help with this report.

This report does not constitute a rating action.

Primary Credit Analyst:Rebecca Mun, London (44) 20-7176-3613;
Secondary Contacts:Shane Ryan, London + 44 20 7176 3461;
Emanuele Tamburrano, London (44) 20-7176-3825;
Research Contributor:Shubham Verma, CRISIL Global Analytical Center, an S&P Global Ratings affiliate, Mumbai

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